NO.PZ2022062601000015
问题如下：
Bourne said that the risk control director of Fund A used a linear factor model to understand risk exposure in the process of constructing and monitoring Fund A's strategy. Bourne constructed a model using the following macro-risk factors such as stock risk, interest rate risk, commodity risk, credit risk, and volatility risk. When explaining the model to peers, Bourne stated that the portion of hedge fund returns that were not explained by these risk factors can be attributed to manager alpha or random errors. There is a high correlation between credit risk and volatility risk factors. In order to solve the multicollinearity problem, Bourne excluded the factor of volatility risk, as the model has a higher R2 when credit risk is included instead of volatility risk.
Is Bourne's construction and conclusion of a linear factor model most likely correct?
选项：
A.Yes, he is correct.
No, he is incorrect with regard to attributing unexplained returns.
No, he is incorrect with regard to dropping volatility as a risk factor.
解释：
B is correct. Bourne concludes that unexplained returns can be attributed to alpha or random errors, and neglects to recognize that omitted risk factors can also lead to unexplained returns. For example, other risk factors such as currency are not included in the model, which may help explain returns and further increase R2.
A is incorrect. Bourne's conclusion about unexplained returns is incorrect.
C is incorrect. Due to the multicollinearity problem, Bourne correctly reduced the volatility risk factor and included credit risk, resulting in a higher R2 of the model.
B是正确的。Bourne得出结论，无法解释的回报可归因于阿尔法或随机误差，并忽略了omitted的风险因素也会导致无法解释的收益。例如，其他风险因素，如货币，不包括在该模型中，这可能有助于解释回报并进一步增加R2。
A不正确。Bourne关于无法解释的回报的结论是错误的。
C不正确。由于多重共线性问题，Bourne正确地降低了波动性风险因子，并且包括信用风险导致模型的R2更高。
conditional factor risk model的公式中，alpha没有被解释吗？当所有F=0，不承担任何风险的时候，公式里仅剩的α不是就投资经理的超额回报吗？
