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Alex · 2024年10月27日

请问C选项为什么不对呀？

  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。

请问C选项为什么不对呀？

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1 个答案

Lucky_品职助教 · 2024年10月28日

嗨，爱思考的PZer你好：


同学你好：


因为 factor-based asset allocation 中所使用的 factors，就是multi-factor models 中使用的factors啊，就像答案解析中给出的一样。但是C选项的表述是， factor-based asset allocation 中所使用的 factors，和multi-factor models中使用的factors完全不同，所以C选项是错误的。

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