NO.PZ202110140100000406
问题如下：
Based on Concern 2, the Factor 1 strategy is most likely to:
选项：
A.be favored by risk-averse investors. B.generate surprises in the form of negative returns. C.have return data that line up tightly around a trend line.解释：
B is correct.
The distribution of Factor 1 returns exhibits excess kurtosis and
negative skewness (relative to the normal distribution). The excess kurtosis
implies that these strategies are more likely to generate surprises, meaning
extreme returns, whereas the negative skewness suggests those surprises are
more likely to be negative (than positive).
A is incorrect because risk-averse investors are more likely to prefer distribution properties such as positive skew (higher probability of positive returns) and
lower to moderate kurtosis (lower probability of extreme negative surprises).
The distribution of Factor 1 returns exhibits excess kurtosis and negative
skewness.
C is incorrect because the distribution of Factor 1 returns exhibits excess kurtosis and negative skewness. The joint distribution of such returns is rarely multivariate normal—so, typically the means and variances of these returns and the correlations between them are insufficient to describe the joint return distribution. In other words, the return data do not line up tightly around a trend line because of fat tails and outliers.
这句话该怎么理解？
