问题如下图：
选项：
A. 
B. 
C. 
解释：
A选项怎么理解，为什么Factors 基于市场premium和anomalies？
Shimin_CPA税法主讲、CFA教研 · 2019年03月20日
还是可以用解析中的Fama-French模型来解释你的疑问，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。value factor同理。
这些factor与factor-based AA 中的factor是完全一样的。
NO.PZ2018110601000021 问题如下 Which of the following statement regarng factor-baseasset allocation is least appropriate? Factors are typically baseon market premiums ananomalies A common wto construfactors is self-financing investment. Factors are typically fferent from the funmentor structurfactors used in multi-factor mols. C is correct 考点：factor-based asset allocation 解析：Fama-French三因素模型是典型的factor-baseasset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（funmental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero llar investment，例如：Size factor return=Small-cstoreturn−Large-cstoreturn。 请问C为什么不对呀？
NO.PZ2018110601000021 问题如下 Which of the following statement regarng factor-baseasset allocation is least appropriate? Factors are typically baseon market premiums ananomalies A common wto construfactors is self-financing investment. Factors are typically fferent from the funmentor structurfactors used in multi-factor mols. C is correct 考点：factor-based asset allocation 解析：Fama-French三因素模型是典型的factor-baseasset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（funmental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero llar investment，例如：Size factor return=Small-cstoreturn−Large-cstoreturn。 基础班哪里讲的这部分内容呀？可以截图一下吗？毫无印象
NO.PZ2018110601000021问题如下 Which of the following statement regarng factor-baseasset allocation is least appropriate? Factors are typically baseon market premiums ananomalies A common wto construfactors is self-financing investment. Factors are typically fferent from the funmentor structurfactors used in multi-factor mols. C is correct 考点：factor-based asset allocation 解析：Fama-French三因素模型是典型的factor-baseasset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（funmental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero llar investment，例如：Size factor return=Small-cstoreturn−Large-cstoreturn。 c为什么不对，麻烦下
NO.PZ2018110601000021 问题如下 Which of the following statement regarng factor-baseasset allocation is least appropriate? Factors are typically baseon market premiums ananomalies A common wto construfactors is self-financing investment. Factors are typically fferent from the funmentor structurfactors used in multi-factor mols. C is correct 考点：factor-based asset allocation 解析：Fama-French三因素模型是典型的factor-baseasset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（funmental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero llar investment，例如：Size factor return=Small-cstoreturn−Large-cstoreturn。 请A B为啥合适
NO.PZ2018110601000021问题如下 Which of the following statement regarng factor-baseasset allocation is least appropriate? Factors are typically baseon market premiums ananomalies A common wto construfactors is self-financing investment. Factors are typically fferent from the funmentor structurfactors used in multi-factor mols. C is correct 考点：factor-based asset allocation 解析：Fama-French三因素模型是典型的factor-baseasset allocation，既包含market premium，又包含size和book-to-market两个基本面因子（funmental factors/ anomalies）。构建这些因子的方法是self-financing investment，或者称作zero llar investment，例如：Size factor return=Small-cstoreturn−Large-cstoreturn。 a劳烦一下 谢谢