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黄路迦 · 2024年04月23日

如下

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NO.PZ201803130100000205

问题如下:

Which of the characteristics put forth by Chaterji to describe the factor-based approach is/are correct?

选项:

A.

Only Characteristic 1

B.

Only Characteristic 2

C.

Both Characteristic 1 and Characteristic 2

解释:

A is correct.

The factors commonly used in the factor-based approach generally have low correlations with the market and with each other. This results from the fact that the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment, in which the under-performing attribute is sold short to finance an offsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short and long positions); as a result, the factors generally have low correlations with the market and with one another. Also, the factors commonly used in the factor-based approach are typically similar to the fundamental or structural factors used in multifactor models.

两个选项能再解释一下吗?感觉之前的解释可能不太懂。

1 个答案

Lucky_品职助教 · 2024年04月24日

嗨,努力学习的PZer你好:


同学你好。


factor-based approach也是解决MVO缺点的。在MVO的方法里面,还是针对于asset class做一个资产配置, 从而达到asset class之间的风险分散化。但是这样做的缺点就是,虽然在资产类别上做到分散化了,但是在risk factor风险因子方面,还是会产生一定的交叉或是重叠,因为不同的资产,很有可能都对同样的风险因子有敏感性。所以factor-based approach就是基于risk factor 来做资产配置,从而达到风险因子的分散化。

factor-based approach的基本理念就是,收益其实是从风险当中来的。投资risk factor,就是通过Long+short的方式,把一个个risk factor剥离出来,比如说想要投资市值这个风险因子,就可以Long大盘股,short小盘股,通过这种方式,就可以把其他风险因子对冲掉,只剩下市值这个风险因子了。答案中的zero (dollar) investment or self-financing investment,指的就是这种方式,自己不用不用投资一分钱,通过卖股票所获得的收益,去买另外的一只股票。这样就可以把一个一个的风险因子单独剥离出来了。这其中每一个风险因子, 都跟市场风险之间的相关性比较低,而且风险因子跟风险因子之间相关性也比较低。所以在多个风险因子之间做投资,就能得到很好的分散化效果。所以Characteristic 1描述的是正确的。

另外,在AA这里讲到的factor-based approach,其实就是fama french多因素模型,所以Characteristic 2是不正确的。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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