大浩浩的笔记课堂——FRM考试学习笔记133

Topic 62 Factors in Investment

1.Value/growth investing:

2.Macroeconomic factors:

⑴factors:

①main factors:

economic growth,inflation,volatility

②other factors:

shocks to productivity,demographic risks,sovereign risks

⑵characteristics:

①Risky assets generally perform poorly during periods of low economic growth.

②Stocks and bonds generally perform poorly in periods of high inflation.

③Stock returns drop when volatility index such as VIX increases.

3.Managing volatility risk:

⑴changing:

Volatility increases in periods of economic stress.

⑵approaches:

There are 2 basic approaches to mitigate volatility risk:

①Invest in less-volatile assets like bonds,but they may perform poorly.

②Buy volatility protection in the derivatives market such as buying put options.

4.Dynamic risk factors:

Fama-French model:

⑴formula:

⑵factors:

The model explains asset returns based on 3 dynamic factors:

①the traditional CAPM market risk factor

②a factor that captures the risk effect(SMB)

③a factor that captures the value/growth effect(HML)

5.Value and momentum investment strategies:

⑴value strategy:

To long value stocks and short growth stocks.

⑵momentum strategy(WML):

To long winners（连涨6个月的股票） and short losers（连跌6个月的股票）.

·特别注意！

·This strategy has outperformed both size ＆ value growth effect,however,it is subject to crashes.

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