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积极向上 · 2023年04月08日

Zero investment

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?

2 个答案
已采纳答案

lynn_品职助教 · 2023年04月12日

嗨,努力学习的PZer你好:


剥离size factor其实就是只受到size影响,其他所有factor都保持一致。


举个例子,茅台是白酒类大盘股,五粮液是白酒类小盘股(假设),我们卖出茅台,用这笔钱买入五粮液。


那么白酒类涨的时候,茅台和五粮液都涨,但我们卖出茅台、买入五粮液,因此白酒类涨跌幅不影响收益。


只有当小盘股涨,大盘股跌的时候,我们的组合是上涨的。


其他的factor也是这样剥离的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

lynn_品职助教 · 2023年04月09日

嗨,爱思考的PZer你好:


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?


指数跌的时候 大小盘股同时跌 但大盘股获利抵消小盘股亏损(抵消其他风险); 只有在小盘股涨幅超过大盘股 or大盘股跌幅超过小盘股的时候 你才能获利(剥离size因素)

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

积极向上 · 2023年04月10日

能再换种方法解释吗? 或者写个具体的例子 上面说的是什么意思?

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