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vivian_zm · 2018年06月19日

问一道题:NO.PZ2018011501000013 [ CFA III ]

问题如下图:

    

选项:

A.

B.

C.

解释:


factor based中factors为什么要和market 有low correlation呢,不是很理解,请老师解释一下,谢谢!

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Shimin_CPA税法主讲、CFA教研 · 2018年06月20日

factor based与asset class方法的区别是,asset class方法中资产之间有overlapping risk factor ,factor based把市场上可以产生anomaly的风险因子挑选出来做线性回归,这些anomaly都是CAPM无法解释的,比如Fama-Fench model中的size effect & value effect。

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Only Characteristic 2 Both Characteristic 1 anCharacteristic 2 A is correct. The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother. This results from the faththe factors typically represent whis referreto a zero (llar) investment or self-financing investment, in whithe unr-performing attribute is solshort to finanoffsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short anlong positions); a result, the factors generally have low correlations with the market anwith one another. Also, the factors commonly usein the factor-baseapproaare typically similto the funmentor structurfactors usein multifactor mols.请问factor basemol和multi-factor app有什么区别?

2020-10-17 16:40 2 · 回答

Only Characteristic 2 Both Characteristic 1 anCharacteristic 2 A is correct. The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother. This results from the faththe factors typically represent whis referreto a zero (llar) investment or self-financing investment, in whithe unr-performing attribute is solshort to finanoffsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short anlong positions); a result, the factors generally have low correlations with the market anwith one another. Also, the factors commonly usein the factor-baseapproaare typically similto the funmentor structurfactors usein multifactor mols.请问第二个陈述为什么不对

2020-06-11 10:13 1 · 回答

第一个表述,the factors usein factor-baseapproahave low correlation with the market ,意思是因子与market的相关性很低吗?但是factor-baseapproa中有market factor 这个因子啊。请详细讲解,谢谢。

2020-02-23 13:13 1 · 回答

在讲义中的第143页中,Factors/ Asset Classes, Factor finitions, anHistoricStatistics里,有一个factor就是market,而且何老师上课也讲了,通过long Inx short cash就能获得market这个factor啊。

2020-02-11 20:25 3 · 回答

请问这个市场相关性第这个点如何理解,能否再下,多谢!

2020-01-12 15:13 1 · 回答