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EvanWu · 2022年01月24日

不太理解特点1

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000205

问题如下：

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.

特点1怎么理解？

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1 个答案

郭静_品职助教 · 2022年01月25日

嗨，努力学习的PZer你好：


market factor可以用在 factor-based approach 。

本题选的是 哪个 Characteristic 正确。 Characteristic 1“factor-based approach中的factor与market 相关性低，factor之间的相关性也低。”这句话是正确的。

市场是由无数个factor构成的，单独一个factor跟整体的相关性是很低的。比如，把size factor单独剥离出来，它跟market factor的相关性是很低的。

这就好比你想预测一下某个人的寿命，找的factor有性别、国籍、肤色、身高、学历等等，然后market factor就好比是所有人类寿命的平均值。你把人类的平均寿命跟身高去做相关性分析，相关性有（因为世界上万事万物都有联系），但是相关性程度不高，因为每个国家既会存在身高高的人寿命长、也会存在身高矮的人寿命长。所以个体跟整体的相关性低。

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