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菱秋秋 · 2021年04月15日

请问选项C为什么是错的？

  1. CFA III
  2. Asset Allocation

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。

请问选项C为什么是错的？

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2 个答案

郭静_品职助教 · 2021年04月16日

嗨，努力学习的PZer你好：


factor-based asset allocation中的factor与多因素模型中的factor是一致的。

风险因子通常来源于市场溢价和市场异常。在CAPM模型中，股票合理的收益率取决于无风险利率和对系统性风险的补偿，而市场异常可以解释CAPM中不能被市场风险解释的风险因子。例如在二级学过的Fama-French三因子模型指出，规模(size)和价值(value)这两个因素就是显著的市场异常现象。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

香蕉树上的考拉 · 2021年04月16日

因为题目选least likely 这句话本身是对的，都会收到相同risk factor的影响

香蕉树上的考拉 · 2021年04月16日

写错了C这句话是错的 因为不是different而是same

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