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

tan6655 · 2024年01月28日

因子系数和权重不一样吧？

  1. CFA III
  2. Equity

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:


选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师解释下

添加评论
1 个答案

笛子_品职助教 · 2024年01月29日

嗨，努力学习的PZer你好：


因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师解释下

Hello，亲爱的同学~

因子系数，又被称为因子权重。

这是统计学里的术语。

因子系数，是回归方程里的回归系数。

在统计学里，回归系数本身，就表示自变量的权重。


以上是概念理解。

我们也可以从公式来理解。


我们例题里是股票收益，股票权重。R1..Rn表示股票1..股票n的收益。

portfolio return = w1*R1+W2*R2 +...+ Wn*Rn + α + ε


习题里是因子收益，因子系数。F1..Fn表示因子1.。。因子n的收益。

portfolio return = C1*F1+C2*F2 +...+ Cn*Fn + α + ε


这两个公式的形式是一致的。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 217

    浏览
相关问题

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 两个问题1.为什么coefficient可以直接作为权重weight, coefficient在统计学中应该是bet而beta=cov/(σm^2), 和weight还是有区别的，所以这里我不理解2.最终结果算risk的占比或者说risk的贡献，什么情况下用方差相除，什么情况下用标准差相除？

2024-05-21 17:05 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 例题用的weights,这里没有，还是不太一样，老师能否演示一下？

2024-01-06 15:48 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 为什么计算market 和其他因子的影响的时候不用乘2呢，按照用画图（类似九宫格）的方法来求组合的方差的时候，是要乘2呀，比如2*w1*w2*covariance

2023-08-29 16:44 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 这道题是按照李老师上课教的方法来计算的但是公式，李老师上课讲的会有乘以2，答案是没有的，这个是不是答案表述有问题呀？

2023-08-16 15:29 1 · 回答