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15363567771 · 2023年02月03日

Multi Factor model

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ202207040100000406

问题如下：

Which of Shaw’s comments about the MFC Value Fund in Exhibit 1 is most accurate? The comment concerning:

选项：

A.

alpha.

B.

small-cap tilt.

C.

value being out of favor.

解释：

B is correct. Shaw’s comment about a small-cap tilt is correct. Additional exposure to smaller firms resulted in a positive performance of 0.02% for the Size factor.

A is incorrect. Alpha is defined here to include performance unexplained by the factors and matches that of the benchmark.

C is incorrect. Although the value style does appear to be out of favor as shown by the lower return than that of the market (0.66% versus 0.71%), the Value factor has a positive contribution to the return (0.08%).

這首題關於alpha的那句怎麼理解？
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1 个答案

笛子_品职助教 · 2023年02月05日

嗨，从没放弃的小努力你好：


這首題關於alpha的那句怎麼理解？

Hello，亲爱的同学！

本题的Alpha在这里被定义为包括由因素无法解释的因素。

这是不对的。

我们教材上，认为无法解释的因素包括alpha和residual。

同学可以看看下页的讲义画红框部分：



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加油吧，让我们一起遇见更好的自己！

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