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

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We can add a momentum factor to the Fama-French so that it becomes a four-factor model. This momentum factor is denoted by WML (i.e., past winners minus past losers) or UMD (i.e., stocks that have gone up minus stocks that have gone down). At least with respect to the historical window analyzed, which is the long period from January 1965 to December 2011, which of the following statements is TRUE about the momentum factor?

AMomentum is a negative feedback strategy which is inherently stabilizing

BThe momentum factor is observed in equities but is NOT observed in bonds, commodities and real estate

CMomentum investing by definition is an anti-value strategy; correlations between HML and WML are strongly negative

DThe cumulated profits on momentum strategies have been an order of magnitude larger than cumulated profits on either size or value

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