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蕾 · 2024年01月15日

请解释A B选项为啥合适

  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。

请解释A B选项为啥合适

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1 个答案

lynn_品职助教 · 2024年01月15日

嗨，爱思考的PZer你好：


请解释A B选项为啥合适


这道题考察的是factor-based asset allocation，AA的reading5，框架图（强化班讲义）第9页，原版书第一本第324页。

B选项：构建risk factor的方法是self-financing investment。这句话可以当做结论记一下，在基础班讲义142页。


同学看上面讲义红字及下面举的例子


self-financing investment，又叫zero (dollar) investment，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，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。


用解析中的Fama-French模型来解释，Fama-French的三个因子是market factor, size factor & value factor。


因为承担了市场风险，所以获得market risk相关的风险补偿，这样的factor是market factor，对应的风险补偿叫market premium。


size factor在这个模型中是small company returns-big company returns前面的系数。


因为Fama-French发现，市值小的公司收益率往往比市值大的公司收益率高，也就是说收益与市值大小有关；


如果市场有效，那么这种关系是不成立的，正因为存在异常anomalies，所以投资者可以将规模这个因素单独挑选出来进行投资，承担与size相关的风险来获得补偿，这就是size factor。其他同理。


简而言之，anomalies市场异象在这里指的是size factor和value factor，是无法解释的但可以给投资者带来超额收益的因子。


而A选项说Factors are typically based on market premiums and anomalies，因子是来自于市场异常值和余值就是正确的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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