B选项 bond

NO.PZ2019042401000051问题如下 inviinvestor reviews historicta on the performanof severinvestment fun ancis to create a US1 million portfolio thmimithe strategy of FunCRN, whihconsistently generatehigh alphas. The investor gathers FunCRN’s monthly returns over the last 10 years anregresses FunCRN’s monthly excess returns over the risk-free rate against the Fama-Frenmol’s three factors well a momentum factor. The investor obtains the following statistically significant estimates:Whiof the following positions is a component of the mimicking portfolio? A.US7,000 long position in stocks showing positive momentum B.US450,000 short position in T-billsC.US360,000 long position in value stocksUS630,000 short position in growth stocks C is correct.The mimicking portfolio shoulconsist of (in percentages): (1 - 0.55) = 45% in T-bills+ 55% in the market portfolio-63% in small caps + 63% in large caps+ 36% in value stocks – 36% in growth stocks-7% in past winning stocks + 7% in past losing stocksThe 36% long position in value stocks translates to US360,000 for a portfolio of US1 million.Risk Management anInvestment ManagementApply a factor regression to construa benchmark with multiple factors, measure a portfolio’s sensitivity to those factors, anmeasure alpha against thbenchmark. Anew Ang, Asset Management: A Systematic Approato Factor Investing (New York, NY: OxforUniversity Press, 2014). Chapter 10. Alpha (anthe Low-Risk Anomaly) 我还是没明白 为啥选HML ？ 而不是选其他 去模仿 ？

NO.PZ2019042401000051 问题如下 inviinvestor reviews historicta on the performanof severinvestment fun ancis to create a US1 million portfolio thmimithe strategy of FunCRN, whihconsistently generatehigh alphas. The investor gathers FunCRN’s monthly returns over the last 10 years anregresses FunCRN’s monthly excess returns over the risk-free rate against the Fama-Frenmol’s three factors well a momentum factor. The investor obtains the following statistically significant estimates:Whiof the following positions is a component of the mimicking portfolio? A.US7,000 long position in stocks showing positive momentum B.US450,000 short position in T-bills C.US360,000 long position in value stocks US630,000 short position in growth stocks C is correct.The mimicking portfolio shoulconsist of (in percentages): (1 - 0.55) = 45% in T-bills+ 55% in the market portfolio-63% in small caps + 63% in large caps+ 36% in value stocks – 36% in growth stocks-7% in past winning stocks + 7% in past losing stocksThe 36% long position in value stocks translates to US360,000 for a portfolio of US1 million.Risk Management anInvestment ManagementApply a factor regression to construa benchmark with multiple factors, measure a portfolio’s sensitivity to those factors, anmeasure alpha against thbenchmark. Anew Ang, Asset Management: A Systematic Approato Factor Investing (New York, NY: OxforUniversity Press, 2014). Chapter 10. Alpha (anthe Low-Risk Anomaly) 如题

NO.PZ2019042401000051问题如下 inviinvestor reviews historicta on the performanof severinvestment fun ancis to create a US1 million portfolio thmimithe strategy of FunCRN, whihconsistently generatehigh alphas. The investor gathers FunCRN’s monthly returns over the last 10 years anregresses FunCRN’s monthly excess returns over the risk-free rate against the Fama-Frenmol’s three factors well a momentum factor. The investor obtains the following statistically significant estimates:Whiof the following positions is a component of the mimicking portfolio? A.US7,000 long position in stocks showing positive momentum B.US450,000 short position in T-billsC.US360,000 long position in value stocksUS630,000 short position in growth stocks C is correct.The mimicking portfolio shoulconsist of (in percentages): (1 - 0.55) = 45% in T-bills+ 55% in the market portfolio-63% in small caps + 63% in large caps+ 36% in value stocks – 36% in growth stocks-7% in past winning stocks + 7% in past losing stocksThe 36% long position in value stocks translates to US360,000 for a portfolio of US1 million.Risk Management anInvestment ManagementApply a factor regression to construa benchmark with multiple factors, measure a portfolio’s sensitivity to those factors, anmeasure alpha against thbenchmark. Anew Ang, Asset Management: A Systematic Approato Factor Investing (New York, NY: OxforUniversity Press, 2014). Chapter 10. Alpha (anthe Low-Risk Anomaly) 请问这道题考的是哪个知识点，没有理解怎么计算出来的？