NO.PZ2022122801000038
问题如下：
Monteo and Chaterji also
discuss other approaches to asset allocation. Chaterji tells Monteo that he
understands the factor-based approach to asset allocation to have two key
characteristics:
Characteristic 1 The factors
commonly used in the factor-based approach generally have low correlations with
the market and with each other.
Characteristic 2 The factors commonly used in the factor-based
approach are typically different from the fundamental or structural factors
used in multi-factor models.
Monteo concludes
the meeting with Chaterji after sharing his views on the factor based approach.
Which of the characteristics put forth by Chaterji to describe the factor-based approach is/are correct?
选项：
A.
Only Characteristic 1
B.
Only Characteristic 2
C.
Both Characteristic 1 and Characteristic 2
解释：
A is correct. The factors commonly used in the factor-based approach generally have low correlations with the market and with each other. This results from the fact that the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment, in which the under-performing attribute is sold short to finance an offsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short and long positions); as a result, the factors generally have low correlations with the market and with one another. Also, the factors commonly used in the factor-based approach are typically similar to the fundamental or structural factors used in multifactor models.
不太理解第二項為什麼不對，fundamental 也用factor嗎
