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tzdsgn · 2023年07月23日

阿尔法

  1. CFA III
  2. Equity

NO.PZ2023010903000058

问题如下：

On viewing Exhibit 1, Shaw makes the following comments about the MFC Value Fund:

l The small-cap tilt helped.

l Value funds were out of favor, as shown by the Value factor results.

l Of course, the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark.

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：

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%).

这里的阿尔法应该怎么表达是正确的呢

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已采纳答案

笛子_品职助教 · 2023年08月01日

嗨，爱思考的PZer你好：


想问的是这句话怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 这句话是错误的，这个理解的。实际题目里都是-0.05%，the MFC Value Fund 是和benchmark有equal alpha吗


The MFC Value Fund must have a equal alpha to its benchmark.

And the MFC Value Fund performance was 0.03 percentage point worse than its benchmark.


就按以上方式表达即可。意思是：alpha 相等，performance 低0.3 百分点。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

笛子_品职助教 · 2023年07月31日

嗨，从没放弃的小努力你好：


1.2000是什么，bps吗？ 2.the MFC Value Fund is 0.03 percentage point worse than its benchmark. 这个是由4个因子和alpha一起贡献的对吧 3.Russel和fund alpha都是0.05%，为什么不能说是equal吗

是Russell 1000，不是2000，笔误了。

是由4个因子和alpha组成

0.05%可以说equal，但我从问题看，没看到题目中有涉及equal的问题。同学可以把涉及equal的句子再贴一下，老师看看。

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加油吧，让我们一起遇见更好的自己！

tzdsgn · 2023年07月31日

想问的是这句话怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 这句话是错误的，这个理解的。实际题目里都是-0.05%，the MFC Value Fund 是和benchmark有equal alpha吗

笛子_品职助教 · 2023年07月28日

嗨，努力学习的PZer你好：


想问的是这句话真对题目怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 是equal alpha吗


MFC与russel 2000的收益差，并不是alpha。收益差里包含了4个因子收益的差距 + alpha的收益差距

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

tzdsgn · 2023年07月28日

1.2000是什么，bps吗？ 2.the MFC Value Fund is 0.03 percentage point worse than its benchmark. 这个是由4个因子和alpha一起贡献的对吧 3.Russel和fund alpha都是0.05%，为什么不能说是equal吗

笛子_品职助教 · 2023年07月25日

嗨，爱思考的PZer你好：


用以下讲义截图红框内容，来表示alpha，是最正确的，这是原版书的阐述。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

tzdsgn · 2023年07月27日

想问的是这句话真对题目怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 是equal alpha吗

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