選項C

NO.PZ202110140100000406 问题如下 Baseon Concern 2, the Factor 1 strategy is most likely to: A.favorerisk-averse investors. B.generate surprises in the form of negative returns. C.have return ta thline up tightly arouna trenline. B is correct. The stribution of Factor 1 returns exhibits excess kurtosis annegative skewness (relative to the normstribution). The excess kurtosis implies ththese strategies are more likely to generate surprises, meaning extreme returns, wherethe negative skewness suggests those surprises are more likely to negative (thpositive). A is incorrebecause risk-averse investors are more likely to prefer stribution properties supositive skew (higher probability of positive returns) anlower to morate kurtosis (lower probability of extreme negative surprises). The stribution of Factor 1 returns exhibits excess kurtosis annegative skewness. C is incorrebecause the stribution of Factor 1 returns exhibits excess kurtosis annegative skewness. The joint stribution of sureturns is rarely multivariate normal—so, typically the means anvariances of these returns anthe correlations between them are insufficient to scrithe joint return stribution. In other wor, the return ta not line up tightly arouna trenline because of ftails anoutliers. 这句话该怎么理解？