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Ronnie YIN · 2020年11月07日

问一道题：NO.PZ2018110601000021

  1. CFA III
  2. Asset Allocation

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。

本题的答案是不是与No.PZ2018011501000013 答案有冲突？

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年11月08日

嗨，爱思考的PZer你好：


这道题目选择的是least appropriate。 2018011501000013 选的是哪一个正确。如果还有疑问，请详细说明是哪一个选项的问题。


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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