{"id":8296,"date":"2024-02-26T03:50:37","date_gmt":"2024-02-25T19:50:37","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=8296"},"modified":"2024-02-26T03:50:37","modified_gmt":"2024-02-25T19:50:37","slug":"%e5%9b%a0%e5%ad%90%e5%a4%a7%e8%a7%80%e5%9c%92","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2024\/02\/%e5%9b%a0%e5%ad%90%e5%a4%a7%e8%a7%80%e5%9c%92\/","title":{"rendered":"\u56e0\u5b50\u5927\u89c0\u5712"},"content":{"rendered":"

\u56e0\u5b50\u5927\u89c0\u5712<\/span><\/strong><\/span><\/h2>\n
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\u56e0\u5b50factor \u662f\u8fd1\u4e8c\u4e09\u5341\u5e74\u7684\u6295\u8cc7\u53d6\u5411\uff0c\u662f\u9664\u4e86\u5e02\u5834\u53caalpha \u4e4b\u5916\u7684\u56de\u5831\u4f86\u6e90\uff0c\u76f41990\u5e74\u7531 Fama \u53ca French \u5169\u4f4d\u6559\u6388\u63d0\u51fa\u4e4b\u5f8c\uff0c\u904e\u5f8020\u5e74\u4e0d\u65b7\u6709\u65b0\u7684\u56e0\u5b50\u88ab\u767c\u73fe\uff0c\u6210\u70ba\u76ee\u64a9\u4e82\u7684factor zoo,\u00a0 \u672c\u6587\u7a31\u70ba\u56e0\u5b50\u5927\u89c0\u5712\u3002<\/span><\/p>\n
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https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=4605976<\/a><\/p>\n
Factor Zoo (.zip)<\/strong><\/p>\n
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\u6b64\u7814\u7a76\u8ad6\u6587\u65bc2023\u5e7411\u6708\u767c\u8868\uff0c\u4f5c\u8005\u5011\u61c9\u70ba\u73fe\u6642\u5e02\u9762\u4e0a\u6709\u592a\u591afactor,\u00a0 \u65bc\u662f\u60f3\u5617\u8a66\u627e\u51fa\u7576\u4e2d\u6bd4\u8f03\u91cd\u8981\u7684\u3002\u9996\u5148\u6587\u7ae0\u641c\u96c6\u4e86153\u500bfactor, \u8986\u84cb\u4e8693\u500b\u570b\u5bb6\u7684\u6295\u8cc7\u5e02\u5834\u3002<\/span><\/p>\n
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\u8ad6\u6587\u7684\u4f5c\u8005\u5011\u5148\u5c07\u6240\u6709153\u500bfactor \u65bc\u7f8e\u570b\u5e02\u5834\u7684\u8868\u73fe\u4e00\u5b57\u6392\u958b\uff0c\u6210\u70ba\u4e86\u4e0b\u5716\uff1a<\/span><\/p>\n
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$\"$ <\/a><\/span><\/p>\n
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\u7136\u5f8c\u6309\u4e0a\u5716\u5c07\u4e0d\u540c\u7684factor \u6b78\u985e\uff0c\u6210\u70ba13\u500b\u7d44\u5225(cluster) \u518d\u9032\u884c\u4e00\u4e9b\u6b78\u7d0d\u7d71\u8a08\u3002<\/span><\/p>\n
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\u4e0a\u5716\u7684\u6b63\u5831\u5df2\u986f\u793a\u4e0d\u540cfactor \u6bd4\u5e02\u5834\u8f03\u9ad8\u7684\u56de\u5831\u8868\u73fe\uff0c\u7576\u4e2d\u4ee5investment,\u00a0 value,\u00a0 low risk \u53camomentum \u6bd4\u8f03\u7a81\u51fa\u3002<\/span><\/p>\n
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\u9664\u4e86\u7f8e\u570b\u4e4b\u5916\uff0c\u518d\u653e\u5165\u74b0\u7403\u5404\u570b\u5e02\u5834\uff0c\u540c\u6a23 investment,\u00a0 quality, value \u53camomentum \u7b49\u56e0\u5b50\u540c\u6a23\u8dd1\u51fa\u3002<\/span><\/p>\n
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$\"$ <\/a><\/span><\/p>\n
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\u6700\u5f8c\u5c31\u662fposition sizing,\u00a0 \u7531\u65bcfactor \u662f\u6703\u63d0\u4f9b\u500b\u5225\u6295\u8cc7\u7269\u7684\u9078\u64c7\uff0c\u4f8b\u5982\u6703\u5f9e\u5e7e\u5343\u7f8e\u80a1\u4e2d\u9078\u51fa\u5e7e\u767e\u96bb\u53bb\u6301\u6709\uff0c\u90a3\u9ebc\u61c9\u8a72\u7528\u90a3\u7a2e\u65b9\u6cd5\u53bb\u6301\u6709\uff1f\u75281\/N \u5e73\u5747\u6cd5(equal weighted) ? \u9084\u662f\u7528\u5e02\u503c\u5927\u5c0f(value weighted) ? \u8ad6\u6587\u6bd4\u8f03\u56de\u5831\u5f8c\u5f97\u51fa\u7d50\u8ad6\u662f\u7528equal weighted \u3002<\/span><\/p>\n
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\u5c07\u8ad6\u6587\u6700\u5f8c\u4e00\u6bb5\u7ffb\u8b6f\uff1a<\/span><\/strong><\/p>\n
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\u300cFactor zoo\u300d\u55ba\u904e\u53bb\u5e7e\u5341\u5e74\u9593\u986f\u8457\u64f4\u5c55\uff0c\u6b63\u5982Cochrane (2011)\u540cHarvey\u3001Liu\u540c\u57cbZhu (2016)\u6240\u8ff0\u5481\u5605\uff0c\u7a81\u986f\u51fa\u6709\u5fc5\u8981\u5c07\u7f8a(sheep)\u540c\u5c71\u7f8a(goat , \u7b46\u8005\u6309:\u4f5c\u8005\u5011\u7528 greatest of all time \u4ee3\u8868\u773e\u591a\u4e4b\u4e2d\u6700\u597d) \u56e0\u5b50\u5340\u5206\u958b\u569f\u3002 \u70ba\u6b64\uff0c\u6211\u54cb\u5605\u7814\u7a76\u8abf\u67e5\u5497\u56e0\u5b50\u52d5\u7269\u5712\u4e2d\u500b\u5225\u56e0\u5b50\u5605\u03b1\u8ca2\u737b\u3002\u5177\u9ad4\u569f\u8b1b\uff0c\u6211\u54cb\u63d0\u51fa\u5497\u4e00\u500b\u8fed\u4ee3\u56e0\u5b50\u9078\u64c7\u7b56\u7565\uff0c\u4ee5\u58d3\u7e2e\u56e0\u5b50\u52d5\u7269\u5712\uff0c\u5f9e\u800c\u5927\u5e45\u6e1b\u5c11\u56e0\u5b50\u5605\u6578\u91cf<\/span>\uff0c\u800c\u5514\u6703\u5931\u53bb\u5c0d\u65bc\u6b63\u5207\u6295\u8cc7\u7d44\u5408\u800c\u8a00\u91cd\u8981\u5605\u4fe1\u606f\u3002 \u7d50\u679c\u5605\u56e0\u5b50\u7d44\u5408\u4ee5\u6700\u5c11\u5605\u56e0\u5b50\u6355\u6349\u56e0\u5b50\u52d5\u7269\u5712\u4e2d\u53ef\u7528\u5605\u03b1\uff0c\u5462\u5572\u56e0\u5b50\u5c0d\u65bc\u5be6\u8e10\u8005\u540c\u5b78\u8853\u76ee\u7684\u90fd\u6709\u76f8\u95dc\u6027\u3002<\/span><\/p>\n
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\u800c\u4e14\uff0c\u6211\u54cb\u767c\u73fe\u4f7f\u7528\u7b49\u6b0a\u91cd<\/span>\u56e0\u5b50\uff0c\u76f8\u5c0d\u65bc\u6709\u4e0a\u9650\u7684\u50f9\u503c\u52a0\u6b0a\u56e0\u5b50\uff0c\u9700\u8981\u8d85\u904e30\u500b\u56e0\u5b50\u624d\u80fd\u6db5\u84cb\u56e0\u5b50\u52d5\u7269\u5712\uff0c\u986f\u793a\u7b49\u6b0a\u91cd\u56e0\u5b50\u8868\u73fe\u51fa\u66f4\u5f37\u5927\u548c\u66f4\u591a\u6a23\u5316\u7684\u03b1<\/span>\u3002\u6700\u5f8c\uff0c\u5c07\u6211\u54cb\u5605\u56e0\u5b50\u9078\u64c7\u7b56\u7565\u61c9\u7528\u65bc\u4e00\u7d44\u5168\u7403\u56e0\u5b50\uff0c\u7d50\u679c\u4fc2\u9078\u51fa\u4e00\u500b\u985e\u4f3c\u5605\u56e0\u5b50\u96c6\u5408\u3002\u96d6\u7136\u57fa\u65bc\u5168\u7403\u6578\u64da\u9078\u64c7\u5605\u56e0\u5b50\u6a21\u578b\u6703\u4f7f\u7f8e\u570b\u540c\u7f8e\u570b\u4ee5\u5916\u4e16\u754c\u5605\u03b1\u6536\u7e2e\uff0c\u4f46\u4f62\u54cb\u5c0d\u7f8e\u570b\u5605\u8868\u73fe\u66f4\u597d\uff0c\u610f\u5473\u4f4f\u570b\u969b\u56e0\u5b50\u5c55\u73fe\u51fa\u66f4\u5927\u540c\u66f4\u591a\u6a23\u5316\u5605\u03b1\u3002 \u7e3d\u62ec\u569f\u8b1b\uff0c\u6240\u63d0\u51fa\u5605\u65b9\u6cd5\u6709\u6548\u5730\u6355\u6349\u5497\u56e0\u5b50\u52d5\u7269\u5712\u4e2d\u5514\u540c\u5730\u5340\u540c\u5b50\u671f\u9593\u53ef\u7528\u5605\u03b1\uff0c\u5e6b\u52a9\u6295\u8cc7\u8005\u96c6\u4e2d\u55ba\u6700\u76f8\u95dc\u5605\u56e0\u5b50\u4e0a\uff0c\u540c\u57cb\u70ba\u5b78\u8853\u754c\u63d0\u4f9b\u9748\u611f\uff0c\u589e\u5f37\u8cc7\u7522\u5b9a\u50f9\u6a21\u578b\u3002<\/span><\/p>\n
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\u5c0f\u7d50<\/span><\/strong><\/span><\/p>\n
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\u518d\u671b\u671b\u8ad6\u6587\u7684\u984c\u76ee – Factor Zoo (.zip)\uff0c\u4fbf\u660e\u767d\u8ad6\u6587\u662f\u58d3\u7e2e\u56e0\u5b50\u5927\u89c0\u5712\uff0c\u73a9\u5473\u5341\u8db3\u3002<\/span><\/p>\n
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