202005FRM二级基础班_风险管理与投资管理-打印版.pdf

9金程教育Reading1公4Factor Investing4-198专业创新增值一金程教育1.Factory TheoryFramework2.Factors3.Alpha(and the Low-Risk Anomaly)5-198与业创新增值9金程教育GOLDEN FUTUREFactory TheoryFactor Investing6-198专业创新增值一9金程教育Factor TheoryThere are many similarities between food and assets,for example:Five macronutrients-water,carbohydrates,protein,fiber,and fat-foran averagemale,female,and child.Three major risk factors are the driving force behind assetsriskpremiums-market risk,credit risk and operational risk factors.All Food contains different types of nutrients and the more expensivethe nutrients,the higher the price of the food.All assets have different exposures to the market factor and the greaterthe exposure,the higher the risk premium.Nutrients can be cheap or expensive under certain circumstanceAssets have different payoffs during high or low inflation periods orduring economic recessions and expansions,in other words,riskpremiums can be cheap or expensive under certain circumstance.7-198专业创新增值一2金程教育The Theory of Factor Risk PremiumsIn summary,there are three similarities between food and assets:Factors matter,not assets.Assets are bundles of factors.Different investors need different risk factors.There is one difference,however,between factors and nutrients.Nutrientsare inherently good for you.Factor risks are bad.8-198与业创新增值空金程教育GOLDEN FUTUREFactor Risk and CAPMThe factor theory is trying to explain the phenomenon:Investors exposed to losses during bad times are compensated by riskpremiums in good times.The basic intuition of the CAPM still holds true:That the factors underlying the assets determine asset risk premiumsand that these risk premiums are compensation for investorslossesduring bad times.9-198专业创新增值一9金程教育Example到Market efficiency can be described with the efficient market hypothesis(EMH).Regarding the definition of EMH and the rational andbehavioral explanations for this approach,the EMH suggests that:A.Speculative trading is costless.B.Active managers cannot generally beat the market.C.Under the behavioral explanation,losses during bad times arecompensated for by high returns.D.Under the rational explanation,it is agents,under-or overreactionsto news that generates high returns.Correct Answer:B16-198专业创新增值9金程教育Example园Which of the following statements least likely represents a limitation ofthe capital asset pricing model(CAPM)?A.All investors are price takers.B.Information is costless to obtainC.All investors have the same expectations.D.There are uniform taxes and transaction costs.Correct Answer:D17-198与业创新增值9金程教育GOLDEN FUTUREFactorsFactor Investing18-198专业创新增值