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Normy · 2019年10月27日

问一道题:NO.PZ2018011501000013 [ CFA III ]

问题如下图:

第一个表述 这些factors如果和市场相关性很低 如何能够作为AA的方法呢?不理解

选项:

A.

B.

C.

解释:

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年10月28日

例如Fama-French 3-factor model,总共涉及3个因子,market factor, size factor, value factor。

其中 size factor return=Small-cap stock return−Large-cap stock return

value factor return=high BV/MV return- low BV/MV return。

后两个风险因子与市场的相关性很低,但Fama-French model却是典型的factor-based approach。

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2020-10-17 16:40 2 · 回答

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2020-06-11 10:13 1 · 回答

第一个表述,the factors usein factor-baseapproahave low correlation with the market ,意思是因子与market的相关性很低吗?但是factor-baseapproa中有market factor 这个因子啊。请详细讲解,谢谢。

2020-02-23 13:13 1 · 回答

在讲义中的第143页中,Factors/ Asset Classes, Factor finitions, anHistoricStatistics里,有一个factor就是market,而且何老师上课也讲了,通过long Inx short cash就能获得market这个factor啊。

2020-02-11 20:25 3 · 回答

请问这个市场相关性第这个点如何理解,能否再下,多谢!

2020-01-12 15:13 1 · 回答