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liuying · 2021年04月11日

问一道题：NO.PZ2018110601000021 [ CFA III ]

  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。

可以解释一下a选项么

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1 个答案

郭静_品职助教 · 2021年04月11日

嗨，努力学习的PZer你好：


A选项：风险因子通常来源于市场溢价和市场异常。

在CAPM模型中，股票合理的收益率取决于无风险利率和对系统性风险的补偿，而市场异常可以解释CAPM中不能被市场风险解释的风险因子。例如在二级学过的Fama-French三因子模型指出，规模(size)和价值(value)这两个因素就是显著的市场异常现场。所以就有size factor, value factor 这些风险因子，并且这些风险因子与多因素模型中的factor是一致的。


B选项：构建风险因子的常用方法是零投资(zero investment)，也被称为自融资投资(self-financing investment)。

也就是说，通过买入和卖空等量资产而产生的净价值为零的投资组合。例如规模这个风险因子，可以通过看多小盘股的收益同时看空大盘股的收益这两个头寸完成剥离（即规模因子收益=小盘股收益-大盘股收益）。


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