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xiaotian · 2021年03月08日

A为啥不选

  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。

A为啥不选 请解释一下原因

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2021年03月08日

嗨，爱思考的PZer你好：


题目要求选least appropriate。A选项的描述是正确，可以当成结论。

还是可以用解析中的Fama-French模型来解释，Fama-French的三个因子是market factor, size factor & value factor。

因为承担了市场风险，所以获得market risk相关的风险补偿，这样的factor是market factor，对应的风险补偿叫market premium。

size factor在这个模型中是small company returns-big company returns前面的系数。因为Fama-French发现，市值小的公司收益率往往比市值大的公司收益率高，也就是说收益与市值大小有关；如果市场有效，那么这种关系是不成立的，正因为存在异常anomalies，所以投资者可以将规模这个因素单独挑选出来进行投资，承担与size相关的风险来获得补偿，这就是size factor。value factor同理。

这些factor与factor-based AA 中的factor是完全一样的。所以A的描述正确。


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