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Fire · 2024年03月05日

选项C为什么是不准确的

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000021

问题如下：

Which of the following statement regarding factor-based asset allocation is least appropriate?

选项：

A.

Factors are typically based on market premiums and anomalies

B.

A common way to construct factors is self-financing investment.

C.

Factors are typically different from the fundamental or structural factors used in multi-factor models.

解释：

C is correct

考点：factor-based asset allocation

解析：Fama-French三因素模型是典型的factor-based asset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（fundamental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero dollar investment，例如：Size factor return=Small-cap stock return−Large-cap stock return。

选项c为什么不对，麻烦解释下

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1 个答案

lynn_品职助教 · 2024年03月05日

嗨，努力学习的PZer你好：


Factors are typically different from the fundamental or structural factors used in multi-factor models.

C是说multi-factor models用到的基本面或者结构因子和AA中的Factor-based使用的因子不一样。


Factor-based方法的因子和multi-factor models 的因子是一样的。


multi-factor models 可以分成三种： macroeconomic factor model， fundamental factor model， statistical factor model。


所以multi-factor models 也可以用 volatility/duration/interest rates/inflation等风险因子建模，就和factor-based中用的一样了。


比如Fama-French三因素模型中的市场风险、size factor、value factor，都是factor-based asset allocation中的风险因子，比如factor-based asset allocation中的size factor就可以通过long小盘股short大盘股来实现。

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