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超超 · 2025年01月16日

多资产对冲掉的是什么风险

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000037

问题如下：

Raye is concerned that the asset allocation approach followed by the Laws’ previous financial adviser resulted in an overlap in risk factors among asset classes for the portfolio. Raye plans to address this by examining the portfolio’s sensitivity to various risk factors, such as inflation, liquidity, and volatility, to determine the desired exposure to each factor.

To address his concern regarding the previous adviser’s asset allocation approach, Raye should assess the Laws’ portfolio using:

选项：

A.a homogeneous and mutually exclusive asset class–based risk analysis. B.

a multifactor risk model to control systematic risk factors in asset allocation.

C.

an asset class–based asset allocation approach to construct a diversified portfolio.

解释：

B is correct. Raye believes the Laws’ previous financial adviser followed an asset allocation approach that resulted in an overlap in risk factors among asset classes. A multifactor risk model approach can be used to address potential risk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s desired exposures to specified risk factors. These methods are premised on the observation that asset classes often exhibit some overlaps in sources of risk.

老师，多资产对冲掉的应该是非系统性风险？题目说的系统性风险，系统性风险是不管你是什么风险资产，都会跌，多资产对冲不了

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1 个答案

Lucky_品职助教 · 2025年01月17日

嗨，努力学习的PZer你好：


同学你好：


这道题的考察点是multifactor risk model，不是你说的多资产。

在一个portfolio中，尽可能添加相关系数较低的资产，确实是对冲的是Non-systematic risk, 但是multifactor risk model的关键是风险因子，这些风险因子都是systematic risk factor，它对冲的是系统性风险。


多因素模型，同样是将收益分解为系统和公司特有两个部分, 但不将系统风险限制为单因素。运用多种因素的划分, 对风险进行解释, 可以更准确地描述风险和收益。

 

如今占主流地位的多因素模型，是法玛和弗伦奇提出的三因素模型。

同学应该还有印象，我们之前都学习过，法玛-弗伦奇模型中的系统风险因素有，公司规模、账面-市值比以及市场指数。

他们提出将小公司与大公司收益率之差，作为每期的规模因素，记为SMB(“小减大”)。类似地，账面-市值比由高账面-市值比公司与低账面-市值比公司的收益率之差测量，记为 HML（“高减低”)。

 

我说了这么多，主要就是想表述一下，课程中讲到的，对这些因素，通过long short的头寸，并不是消除掉系统性风险，而是通过对某一类系统性风险因子做对冲，从而得到premium return，这个和我们学过的对冲基金的很多策略都是一个道理。

 

而关于非系统性风险，我们再用因素模型（无论是上面的那种）来计算资产配置后的预期收益的时候，注意，是求expected return，这种情况下，所有的非系统风险，或者说是公司特有风险，都要求预期值，也就是平均值，那它们的预期值就是0。

或者简单一点来说，我们在做资产配置的时候，就是要尽可能的通过分析不同资产之间的相关性，分散掉非系统性风险，但是系统性风险是无法通过资产配置来消除的，只有通过对各种系统性风险因子进行对冲，才能得到超额收益。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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