NO.PZ201909300100000304
问题如下：
4 Based on Exhibit 1, the manager could have delivered more value to the portfolio during the investment period by weighting more toward:
选项：
A.value stocks.
small-cap stocks.
momentum stocks.
解释：
C is correct.
Had the manager weighted more toward momentum stocks during the period, the momentum factor (WML) return of 3.38% would have contributed positively to the portfolio.
A is incorrect because the HML factor return was –9.60%; thus, weighting more toward value stocks would have detracted from portfolio returns.
B is incorrect because the SMB factor return was –3.25%; thus, weighting more toward small-cap stocks would have detracted from portfolio returns.
为什么不是SMB，收益是最高的，所以应该投更多“ 还是这个提是判断基金经理一开始哪里投错了。