FRM二级在线题库,FRM二级模拟试题-融跃教育FRM

首页 > FRM二级题库 > Unit 16.The Theory of Factor Risk Premiums

登录后可用

纠错

标记

Andrew Ang introduces factors and divides them primarily into two types: macro, fundamental-based factors versus investment-style factors. He writes, "Factors drive risk premiums. One set of factors describes fundamental, economy wide variables like growth, inflation, volatility, productivity, and demographic risk. Another set consists of tradeable investment styles like the market portfolio, value-growth investing, and momentum investing." Ang also claims that the three most important macro factors are growth, inflation, and volatility. His evaluation of these macro factors is based on a long-term historical sample (specifically, 1952:Q1 to 2011:Q4). It is important to qualify the sample window because we cannot be sure that past is prologue; e.g., interest rates experienced two long-term secular trends during this window. In regard to his historical analysis, each of the following statements is true EXCEPT which is false?

AGovernment and investment-grade bonds performed BETTER during economic recessions than during expansions

BBoth large and small (cap) stocks perform significantly BETTER during economic expansions than during recessions

CDuring periods of high inflation, all five asset classes perform significantly BETTER than during periods of low inflation

DAll five assets classes are much MORE VOLATILE during recessions (or periods of low GDP growth) than during expansions

上一题查看解析下一题

登录后查看
没有账号？立即注册

推荐课程