NO.PZ2023090501000053
问题如下：
An equity analyst at a pension fund is using an internal three-factor model to assess a potential investment in stock BBZ. Each of the three factors is represented by an exchange-traded fund (ETF) which has a factor beta of 1 to that factor and a factor beta of 0 to all other factors. The analyst prepares the following information:
选项：
A.
2.84%
B.
4.94%
C.
6.01%
D.
6.51%
解释：
Explanation
B is correct. The first step is to find the expected excess return for each factor, which is calculated by subtracting the risk-free rate from the expected return as follows: for factor P it is 5.40% - 2.10% = 3.30%, for factor Q it is 6.80% - 2.10% = 4.70%, and for factor R: 3.00% - 2.10% = 0.90%
Multiplying by the respective factor betas for stock BBZ provides the contribution to the stock's expected return from its factor exposures: 0.95 * 3.30% + (-0.40) * 4.70% + 1.20 * 0.90% = 2.34%
Then, to find the total expected return for stock BBZ, add the alpha and the risk-free rate to the stock's expected return from its factor exposures, to get 2.34% + 0.50% + 2.10% for a total expected return of 4.94%.
A is incorrect. This choice forgets to add back the risk-free rate.
C is incorrect. This choice uses the total returns for each factor instead of the excess returns before multiplying by the factor betas, and also forgets to add in the alpha. This choice and choice D also do not add in the risk-free rate at the end, since it was already incorrectly captured three times through the use of the total returns.
D is incorrect. This choice uses the total returns for each factor instead of the excess returns.
Section Foundations of Risk Management
Learning Objective Calculate the expected return of an asset using a single-factor and a multifactor model.
Global Association of Risk Professionals. Foundations of Risk Management. New York,
NY: Pearson, 2022. Chapter 6. The Arbitrage Pricing Theory and Multifactor Models of
Risk and Return.
想当于是用市场风险里计算吗？
