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Lucrecia1004 · 2021年06月21日

可以解释一下C选项的意思吗？

  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。

可以解释一下C选项的意思吗？

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郭静_品职助教 · 2021年06月22日

嗨，努力学习的PZer你好：


同学你好，C选项的表述是错误的，我按照正确的给你解释一遍，正确的说法应该是：

Factors are typically the same with the fundamental or structural factors used in multi-factor models

也就是说factor-based asset allocation中的风险因子与多因素模型中的factor是相同的，比如Fama-French三因素模型中的市场风险、size factor、value factor，都是factor-based asset allocation中的风险因子，比如factor-based asset allocation中的size factor就可以通过long小盘股short大盘股来实现。

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