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tan6655 · 2024年01月28日

因子系数和权重不一样吧？

  1. CFA III
  2. Equity

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:


选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师解释下

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1 个答案

笛子_品职助教 · 2024年01月29日

嗨，努力学习的PZer你好：


因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师解释下

Hello，亲爱的同学~

因子系数，又被称为因子权重。

这是统计学里的术语。

因子系数，是回归方程里的回归系数。

在统计学里，回归系数本身，就表示自变量的权重。


以上是概念理解。

我们也可以从公式来理解。


我们例题里是股票收益，股票权重。R1..Rn表示股票1..股票n的收益。

portfolio return = w1*R1+W2*R2 +...+ Wn*Rn + α + ε


习题里是因子收益，因子系数。F1..Fn表示因子1.。。因子n的收益。

portfolio return = C1*F1+C2*F2 +...+ Cn*Fn + α + ε


这两个公式的形式是一致的。

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