课程均值方差与投资组合理论 · 组合构建与风险
CAPM 与均衡定价含义
某上海私募的多空策略台,周一早会上分析师汇报:某只白酒龙头跑赢沪深300 5.2 个百分点,「显著的 alpha」。基金经理把数据敲到 Bloomberg,跑了一遍 CAPM 回归,Jensen alpha 的 t 值 1.3——「不,这只是 beta 的 1.4 倍,加上沪深300 这一年涨了 4%,你看到的 5.2% 全在 beta 解释范围内,没有 a...
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中文题目题目5300 · 金融与交易
Compare Two Stocks Under CAPM Plus Alpha
The risk-free rate is 2.5% and the market expected return is 9.5%. Stock A has beta 1.1 and zero alpha forecast. Stock B has beta 0.4 and a forecast alpha of 1.5%. Under a CAPM-plus-alpha view, which stock has the higher expected return, and by how much?
打开 →题目5313 · 金融与交易
Why CAPM Is Still Used
Even though markets are more complex than one-factor CAPM, why is CAPM still used in practice?
打开 →课程因子动物园与因子构建 · 因子投资
因子模型基础:从 CAPM 到 Fama-French
一家面向沪深300成分股的私募基金新来的研究员,把基本面盈利筛选的多空组合回测呈到投委会:年化 6.4%,夏普 0.9,t 值 2.5。基金经理只说一句:「先把因子控掉再来汇报 alpha。」研究员意识到自己说不清三件事——「因子」指哪几个、为什么是这几个、基金经理隐含的是哪个检验。本节课就是这道问题的答卷。你会从 1964 年的 CAPM,走到 2015 ...
打开 →题目5301 · 金融与交易
Alpha After Cash De-Levering
A trading sleeve has realized return 12% and market beta 1.4. The risk committee wants the reported beta reduced to exactly 1.0 by parking the rest of the capital in T-bills earning 2%. If the market returned 8%, what alpha will the combined position report relative to CAPM?
打开 →题目5292 · 金融与交易
Implied Market Premium From a Hurdle Return 2
A stock has beta 1.2 and the risk-free rate is 2%. If CAPM says its expected return should be 9.2%, what market risk premium is implied?
打开 →题目5299 · 金融与交易
Minimum Expected Return To Clear An Alpha Hurdle
A PM requires at least 1.0% expected alpha over CAPM before buying a stock. If the risk-free rate is 1%, the market expected return is 7%, and the stock's beta is 0.6, what minimum expected return must the stock have to qualify?
打开 →模块4.3.1 · 量化全流程 · 因子投资
因子动物园与因子构建
factor-models · capm · fama-french · ff3 · ff5 · carhart · q-factor · hxz
打开 →课程因子动物园与因子构建 · 因子投资
因子构建机制:组合排序与回归
国内某量化私募新来的研究员从离职同事那里接过一份 SMB 构建脚本。她在沪深300成分股之外把范围扩到中证全样本,2010 年之后跑出来,SMB 年化 7.4%,t 值高于 4——惊人,因为 LSY 3 的规模因子在国内学术样本里多年只在 2 3% 附近徘徊,Fama French 美股 SMB 也长期在 2 3%。投委会的资深基金经理脑子里跑了三步诊断:「...
打开 →课程因子动物园与因子构建 · 因子投资
端到端构建一个自定义因子
国内某量化私募的因子研究负责人,在沪深300成分股范围内向新来的研究员提出一个任务:「在我们的股票宇宙里把 AQR 的 quality minus junk 因子搭出来,然后告诉我它该以常规权重、收缩权重、影子组合、还是直接剔除的方式进入生产合成因子。」研究员对前四节内容了然于胸——L1 因子定价模型、L2 异象清单、L3 构建工艺、L4 经济故事。这个问题...
打开 →课程因子动物园与因子构建 · 因子投资
风险与错误定价:因子动物园的经济学
国内某多策略私募的基金经理问:「这两个因子样本内夏普都是 1.0,都跨过 Hou Xue Zhang t 值 3,都在 Chen Zimmermann 开源库有复现。为什么权重不同?」研究员愣了一下。基金经理继续:「盈利能力因子有一个可引用的故事——q 理论:高 ROE 的公司资本成本低,这一差异就是状态变量风险溢价。低波动异象的故事是彩票偏好与杠杆厌恶:散...
打开 →题目5293 · 金融与交易
Alpha Relative to a Benchmark Move 3
A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?
打开 →题目5298 · 金融与交易
Benchmark Change and Alpha Revision 7
A stock returned 1.3%. Under the old benchmark, the benchmark return was 0.8% and beta was 1.0. Under a new benchmark, the benchmark return is 0.5% with the same beta. By how much does the stock's measured alpha increase?
打开 →题目5291 · 金融与交易
Benchmark Mix to Hit a Beta Target 1
A sleeve with beta 1.4 is blended with a hedge sleeve of beta -0.2. What weight on the first sleeve gives portfolio beta 0.5?
打开 →题目5303 · 金融与交易
Benchmark Weight Needed to Zero Out Active Beta 8
A manager sleeve has beta 1.25. It is mixed with cash of beta 0. What weight on the manager sleeve makes the overall beta exactly 1?
打开 →题目5305 · 金融与交易
Directional Sleeve Weight For Target Alpha
A portfolio mixes a market-neutral arbitrage sleeve with realized return 4% and beta 0.2, and a directional sleeve with realized return 14% and beta 1.4. Let w be the weight in the directional sleeve and 1-w in the arbitrage sleeve. If the risk-free rate is 2% and the market retu
打开 →题目5304 · 金融与交易
Gross Return Needed For Post-Fee Alpha Target
A PM runs a stock with beta 0.7. After the quarter, a 0.8% fee is deducted from the stock's gross return before alpha is reported. If the risk-free rate is 1.5% and the market returned 5.5%, what gross stock return is needed so the reported post-fee alpha is +1.0%?
打开 →题目5296 · 金融与交易
Idiosyncratic Variance From Total and Market Pieces 5
A stock follows a one-factor model with beta 1.5. Market variance is 0.04 and the stock's total variance is 0.16. What idiosyncratic variance is implied?
打开 →题目5294 · 金融与交易
Index Futures Overlay To Reach A Beta Target
A cash equity book has beta 0.60 to the market. The desk can short index futures with beta 1.00 per unit notional. What short futures notional, as a fraction of NAV, is needed to bring the portfolio beta down to 0.15?
打开 →题目5302 · 金融与交易
Market Return Consistent With Zero Alpha
A PM says a stock with beta 1.5 and realized return -1% still generated exactly zero alpha this month. If the risk-free rate was 2%, what market return would make that statement true?
打开 →题目5295 · 金融与交易
Overlay Notional for Beta Neutrality 4
A core book has beta 0.9 and notional 200. An index future has beta 1.0. What short futures notional makes the combined beta exposure zero?
打开 →题目5297 · 金融与交易
Portfolio Alpha Across Two Sleeves 6
Sleeve A has weight 40% and alpha 2%, sleeve B has weight 60% and alpha -0.5%. What is the portfolio alpha?
打开 →题目5306 · 金融与交易
Three-Factor Return Attribution 1
A portfolio has alpha 0.01, market beta 1.1 with market factor move 0.02, value exposure 0.4 with value-factor move -0.01, and size exposure 0.3 with size-factor move 0.015. What return does this linear factor model attribute to the portfolio?
打开 →题目5307 · 金融与交易
Three-Factor Return Attribution 2
A portfolio has alpha 0.005, market beta 0.9 with market factor move 0.015, value exposure -0.2 with value-factor move 0.01, and size exposure 0.2 with size-factor move 0.012. What return does this linear factor model attribute to the portfolio?
打开 →题目5309 · 金融与交易
Three-Factor Return Attribution 4
A portfolio has alpha 0.008, market beta 0.7 with market factor move 0.01, value exposure 0.3 with value-factor move 0.005, and size exposure -0.1 with size-factor move 0.011. What return does this linear factor model attribute to the portfolio?
打开 →题目5310 · 金融与交易
Three-Factor Return Attribution 5
A portfolio has alpha 0.009, market beta 1 with market factor move 0.017, value exposure -0.4 with value-factor move 0.008, and size exposure 0.25 with size-factor move 0.014. What return does this linear factor model attribute to the portfolio?
打开 →题目5312 · 金融与交易
Why Alpha Is Fragile
Why can measured alpha disappear once you change the factor model used to benchmark a portfolio?
打开 →题目5311 · 金融与交易
Why Beta Is Not Total Risk
Why can a stock have a low beta but still be risky in an absolute sense?
打开 →题目5315 · 金融与交易
Why Expected Return And Attribution Differ
Why is estimating an expected return from a factor model different from explaining a realized return after the fact?
打开 →题目5314 · 金融与交易
Why Factor Exposures Help Hedging
Why is it often more informative to hedge factor exposures than to hedge names one by one?
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