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

jaydengu · 2020年01月12日

问一道题:NO.PZ2018011501000013

问题如下:

Monteo and Chaterji also discuss other approaches to asset allocation. Chaterji tells Monteo that he understands the factor-based approach to asset allocation to have two key characteristics:

Characteristic 1 The factors commonly used in the factor-based approach generally have low correlations with the market and with each other.

Characteristic 2 The factors commonly used in the factor-based approach are typically different from the fundamental or structural factors used in multi-factor models.

Monteo concludes the meeting with Chaterji after sharing his views on the factor based approach.

Which of the characteristics put forth by Chaterji to describe the factor-based approach is/are correct?

选项:

A.

Only Characteristic 1

B.

Only Characteristic 2

C.

Both Characteristic 1 and Characteristic 2

解释:

A is correct.

The factors commonly used in the factor-based approach generally have low correlations with the market and with each other. This results from the fact that the factors typically represent what is referred to as a zero (dollar) investment or self-financing investment, in which the under-performing attribute is sold short to finance an offsetting long position in the better-performing attribute. Constructing factors in this manner removes most market exposure from the factors (because of the offsetting short and long positions); as a result, the factors generally have low correlations with the market and with one another. Also, the factors commonly used in the factor-based approach are typically similar to the fundamental or structural factors used in multifactor models.

请问这个市场相关性第这个点如何理解,能否再解释下,多谢!

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年01月12日

嗨,从没放弃的小努力你好:


factor-based approach 典型的例子是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。

这两个风险因子与市场的相关性很低。与两个风险因子构建的方法有关。

比如说Size factor,这里用到的其实就是控制变量法。因为每一个股票都会受到市场、规模、价值、流动性、惯性等等各种因子的影响,但是我们现在只考虑规模。所以平均来看,其它的因子会均匀的分布在大盘股、中盘股、小盘股中。也就是说,如果把市场上所有的股票按规模排个序,分成三等分,有大盘股、中盘股、小盘股,用小盘股的收益减去大盘股的收益,就把规模这个因子单独提取出来了。其它因子,由于平均来看是均匀分布的,所以在减法中相互抵消,就不存在了。

同样的道理,构建value factor,把市场上所有的股票按BV/MV ratio的大小排个序,分成三等分,分成value、growth、blended stock,用价值股的收益减去成长股的收益,就把value这个因子单独提取出来了。其它因子,由于平均来看是均匀分布的,所以在减法中相互抵消,也不存在了。

所以size factor和value factor,都是单独提取出来的因子,跟市场的相关性很低。


-------------------------------
努力的时光都是限量版,加油!


  • 1

    回答
  • 4

    关注
  • 950

    浏览
相关问题

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?

2020-10-17 16:40 2 · 回答

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

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