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.
factor-based,里，如果有个因子是market return, 讲义144页，那么还叫做factor 与市场的相关性低吗？
factor是基于market premium的，这是什么意思，讲义143页。
