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肖肾客 · 2020年02月13日

问一道题:NO.PZ201909300100000304

* 问题详情,请 查看题干

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.

B.

small-cap stocks.

C.

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.

您好,请问这个MOMENTUM的SENSITIVITY FACTOR系数不是负的吗, FACTOR RETURN是正的,一负一正相乘也是负的,也就是说会给整个组合带来负数的回报?

1 个答案
已采纳答案

星星_品职助教 · 2020年02月14日

同学你好,

Portfolio在WML这一项上的系数为负,说明基金经理投的是“loser”。而由于WML这个factor的return为正,所以基金经理投错了,导致了这一项对于组合的回报影响为负。

这道题问的是如何可以改善组合的表现,所以就要从投“loser”变为多投“winner”/momentum stock,这样这个factor对于组合的贡献就为正了。

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