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mino酱是个小破货 · 2024年07月03日

老师，alpha不是-0.05%吗？题里都说了，所以我很快选对了，不知道解释A搞啥子

  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%).

如问，请老师解释，谢谢🙏

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1 个答案

笛子_品职助教 · 2024年07月03日

嗨，从没放弃的小努力你好：


老师，alpha不是-0.05%吗？题里都说了，所以我很快选对了，不知道解释A搞啥子

Hello ，亲爱的同学~

同学理解正确。

这道题的解释A，确实如同学所言，并没有太多的必要。

因为表格里已经给出alpha数字了。

无论是 RUssell 1000 value，还是MFC value，它们的Alpha都是-0.05%。两者相等，并不存在lower。

因此A不选。


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