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:
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。
Only Characteristic 2 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.请问factor basemol和multi-factor app有什么区别?
Only Characteristic 2 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.请问第二个陈述为什么不对
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。
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。
请问这个市场相关性第这个点如何理解,能否再下,多谢!