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请问为啥alpha衡量了择时能力？

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NO.PZ201809170400000501

问题如下：

Based on Exhibit 1, the main building block of portfolio construction on which Fund 1 focuses is most likely:

选项：

alpha skills.

position sizing.

rewarded factor weightings.

解释：

A is correct. The three main building blocks of portfolio construction are alpha skills, position sizing, and rewarded factor weightings. Fund 1 generates active returns by skillfully timing exposures to factors, both rewarded and unrewarded, and to other asset classes, which constitute a manager’s alpha skills.

请问为啥alpha衡量了择时能力？rewarded factor和unrewarded factor分别又是什么意思？

嗨，努力学习的PZer你好：

1. 同学要注意哦，这里是alpha skills不是一般意义的alpha。在三级的内容中，我们把基金经理获得超额收益的来源分成了4个部分，基金经理择时的能力是其中一个来源，教材把这种来源命名为alpha skills。

2. 如下为原版书对rewarded factor和unrewarded factor的定义

Some factors (most commonly, size, value, momentum, and quality) have been shown to be positively associated with a long-term return premium. These we call rewarded factors.

实践证明能够在长期给组合带来正向投资收益的因子被称为rewarded factors，常见的rewarded factors：size, value, momentum, and quality。

Many other factors are used in portfolio construction but have not been empirically proven to offer a persistent return premium. Some call these unrewarded factors.

unrewarded factors只能在短期给组合带来正向回报，常见的unrewarded factors如石油价格变化、某些重大时间、某行业利好等，投资这就unrewarded factors，主要依赖于基金经理的择时能力。

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请问为啥alpha衡量了择时能力？

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