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。
例如,想要构建size factor,就可以short large-cap stock,拿到cash,再用这些钱去long small-cap stock,这两个头寸净价值为零同时剥离出了size这个风险因子。
为什么同等价值的就剥离了size factor? 剥离出size这个factor可以看到什么影响?