开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Mahoosive · 2023年08月05日

描述1为什么是对的

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000205

问题如下：

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.

为什么说和market相关性很低

添加评论
1 个答案

lynn_品职助教 · 2023年08月06日

嗨，努力学习的PZer你好：


Characteristic 1“factor-based approach中的factor与market 相关性低，factor之间的相关性也低。”这句话是正确的。


市场是由无数个factor构成的，单独一个factor跟整体的相关性是很低的。比如，把size factor单独剥离出来，它跟market factor的相关性是很低的。


我们也可以从factor-based 方法怎么做来理解一下，the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment,


这是因为这些因子通常代表所谓的零（美元）投资或自筹资金投资，在这种投资中，表现不佳的因子被卖空，以在表现较好的因子中为抵消多头头寸融资。以这种方式构建因子会将大部分市场敞口从因子中移除（因为抵消了空头和多头头寸）


这里有个概念self-financing investment，又叫zero (dollar) investment，可能不好理解，它是指通过买入和卖空等量资产而产生的净价值为零的投资组合。


例如size factor=small cap stock return-large cap stock return，看多小盘股的收益同时看空等量的大盘股收益，这两个头寸净价值为零同时剥离出了规模这个风险因子。

即我们先借入大盘股股票/指数将其卖出，再用卖出所得买入小盘股股票/指数，这样相当于我们没有投资一分钱获得了size factor敞口，其他我们不需要的因子已经在这个过程中通过一买一卖抵消掉了。


通过这种方式我们可以把因子剥离出来。这些factor与market 相关性低，factor之间的相关性也低。


举个栗子，好比你想预测一下某个人的寿命，找的factor有性别、国籍、肤色、身高、学历等等，然后market factor就好比是所有人类寿命的平均值。


你把人类的平均寿命跟身高去做相关性分析，相关性有（因为世界上万事万物都有联系），但是相关性程度不高，因为每个国家既会存在身高高的人寿命长、也会存在身高矮的人寿命长。所以个体跟整体的相关性低。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 3

    关注

  • 267

    浏览
相关问题

NO.PZ201803130100000205 问题如下 Whiof the characteristiput forth Chaterji to scrithe factor-baseapproais/are correct? A.Only Characteristic 1 B.Only Characteristic 2 C.Both Characteristic 1 anCharacteristic 2 A is correct. The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother. This results from the faththe factors typically represent whis referreto a zero (llar) investment or self-financing investment, in whithe unr-performing attribute is solshort to finanoffsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short anlong positions); a result, the factors generally have low correlations with the market anwith one another. Also, the factors commonly usein the factor-baseapproaare typically similto the funmentor structurfactors usein multifactor mols. 两个能再一下吗？感觉之前的可能不太懂。

2024-04-23 21:57 1 · 回答

NO.PZ201803130100000205问题如下Whiof the characteristiput forth Chaterji to scrithe factor-baseapproais/are correct?A.Only Characteristic 1B.Only Characteristic 2C.Both Characteristic 1 anCharacteristic 2A is correct. The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother. This results from the faththe factors typically represent whis referreto a zero (llar) investment or self-financing investment, in whithe unr-performing attribute is solshort to finanoffsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short anlong positions); a result, the factors generally have low correlations with the market anwith one another. Also, the factors commonly usein the factor-baseapproaare typically similto the funmentor structurfactors usein multifactor mols.特点2怎么理解是错误的

2022-05-15 21:52 1 · 回答

NO.PZ201803130100000205 This results from the faththe factors typically represent whis referreto a zero (llar) investment or self-financing investment, in whithe unr-performing attribute is solshort to finanoffsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short anlong positions);  这句话怎么理解呢？

2022-02-24 10:11 1 · 回答

NO.PZ201803130100000205 特点1怎么理解？

2022-01-24 10:07 1 · 回答