婷 · 2022年10月14日
* 问题详情，请 查看题干
NO.PZ201909300100000302
问题如下：
2 Based on Exhibit 1 and relative to the benchmark, the manager of Fund 1 most likely used a:
选项：
A.
growth tilt.
B.
greater tilt toward small cap.
C.
momentum-based investing approach.
解释：
A is correct.
Based on the factor sensitivities in column 1 (negative sensitivity of –0.17 to HML) and the differences relative to the benchmark shown in column3, the manager likely had a growth tilt.
为什么只考虑第三列的正负，不需要考虑第四列的正负？
吴昊_品职助教 · 2022年10月14日
嗨，努力学习的PZer你好：
本题不需要考虑factor return这一列。注意题干中的“relative to the benchmark”，所以只需要看图表中的第三列的正负号来确定投资风格（就是和benchmark相比是多还是少）。
比如：如果HML是负数，说明更多投资在成长型股票上；如果HML是正数，说明更多投资在价值型股票上。现在HML是-0.21，说明我们投资在成长型股票上，所以选A。
----------------------------------------------努力的时光都是限量版，加油！
edwardoer · 2023年08月08日
請問老師 我可以這樣理解嗎？（3）difference是看風格，（4）factor return是這個經理人投資這個factor是不是權重有所增加？
NO.PZ201909300100000302问题如下2 Baseon Exhibit 1 anrelative to the benchmark, the manager of Fun1 most likely usea:A.growth tilt.B.greater tilt towarsmall cap.C.momentum-baseinvesting approach.A is correct. Baseon the factor sensitivities in column 1 (negative sensitivity of –0.17 to HML) anthe fferences relative to the benchmark shown in column3, the manager likely ha growth tilt.B是错在greater？
NO.PZ201909300100000302 greater tilt towarsmall cap. momentum-baseinvesting approach. A is correct. Baseon the factor sensitivities in column 1 (negative sensitivity of –0.17 to HML) anthe fferences relative to the benchmark shown in column3, the manager likely ha growth tilt. RMRF是什么影响？为什么权重偏差最大却不考虑？
NO.PZ201909300100000302 请问老师， momentum-baseinvesting approa我知道这个不对， 就是这知识点我不记得了 请问这个是哪个知识点？ 谢谢
greater tilt towarsmall cap. momentum-baseinvesting approach. A is correct. Baseon the factor sensitivities in column 1 (negative sensitivity of –0.17 to HML) anthe fferences relative to the benchmark shown in column3, the manager likely ha growth tilt. High minus low 不是high prito book value minus low prito book value吗，那么high p/b是growth呀，怎么是value呢 ？ 到底这hml是什么意思
