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粉红豹 · 2019年12月08日

问一道题: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。

请问,怎么理解C选项中的multifator 里用的fundamental structural factor 

1 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2019年12月09日

嗨,从没放弃的小努力你好:


multifator model分成三种类型, fundamental factor model, macroeconomic factor model以及statistical factor model(一二级组合内容,三级不会考)。

fundamental factor 是fundamental factor model中的因子,比如说有firm size, earnings, 以及一些财务指标。

structural factor是macroeconomic factor model中的因子,因为structural factor指的是经济理论中的因子,比如说GDP growth, inflation。

这些因子都属于multifator。


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努力的时光都是限量版,加油!


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