贵金属投资技术阐明英文版 42.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * 13-* Using Factor Portfolios (contd) Single-Factor versus Multi-Factor Model A singe-factor model uses one portfolio while a multi-factor model uses more than one portfolio in the model. The CAPM is an example of a single-factor model while the Arbitrage Pricing Theory (APT) is an example of a multifactor model. 13-* Building a Multifactor Model Given N factor portfolios with returns RF1, . . . , RFN, the expected return of asset s is defined as: β1…. βN are the factor betas. 13-* Building a Multifactor Model (contd) A self-financing portfolio can be constructed by going long in some stocks and going short in other stocks with equal market value. In general, a self-financing portfolio is any portfolio with portfolio weights that sum to zero rather than one. 13-* Building a Multifactor Model (contd) If all factor portfolios are self-financing then: 13-* Selecting the Portfolios A trading strategy that each year buys a portfolio of small stocks and finances this position by short selling a portfolio of big stocks has historically produced positive risk-adjusted returns. This self-financing portfolio is widely known as the small-minus-big (SMB) portfolio. 13-* Selecting the Portfolios (contd) A trading strategy that each year buys an equally-weighted portfolio of stocks with a book-to-market ratio less than the 30th percentile of NYSE firms and finances this position by short selling an equally-weighted portfolio of stocks with a book-to-market ratio greater than the 70th percentile of NYSE stocks has historically produced positive risk-adjusted returns. This self-financing portfolio is widely known as the high-minus-low (HML) portfolio. 13-* Selecting the Portfolios (contd) Each year, after ranking stocks by their return over the last one year, a trading strategy that buys the top 30% of stocks and finances this position by short selling bot