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Arnie · 2022年09月15日

这里说的structure factor 是指的什么

  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。

这里说的structure factor 是指的什么

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lynn_品职助教 · 2022年09月15日

嗨，爱思考的PZer你好：


C选项中说的structural factors是一二级组合的知识点。Multifator model分成三种类型： fundamental factor model, macroeconomic factor model以及statistical factor model。


其中，fundamental factor 是fundamental factor model中的因子，比如说有firm size, earnings, 以及一些财务指标。


structural factor是macroeconomic factor model中的因子，因为structural factor指的是经济理论中的因子，比如说GDP growth, inflation。

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