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nuankaka · 2023年01月31日

这题的选项C能再解释一下吗？

  1. CFA II
  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%).

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%).

没怎么特别明白这个的具体意思

谢谢

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1 个答案

笛子_品职助教 · 2023年02月02日

嗨，爱思考的PZer你好：


没怎么特别明白这个的具体意思

Hello，亲爱的同学！

我们在这里看表格的数据就好了：


我们看这个表格，总的超额收益是0.66%，其中有0.08%来自价值因子，所以价值因子是favor（0.08%>0），并不是out of favor 的。


至于解释里说的0.66%<0.71%，这个有些迷惑人，可以不去看它。它是说所有因子加起来超额收益是负的。但是价值这个因子超额收益是正的，所以价值是favor的。

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