开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

15363567771 · 2023年02月03日

Multi Factor model

  1. CFA III
  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%).

這首題關於alpha的那句怎麼理解？
添加评论
1 个答案

笛子_品职助教 · 2023年02月05日

嗨，从没放弃的小努力你好：


這首題關於alpha的那句怎麼理解？

Hello，亲爱的同学！

本题的Alpha在这里被定义为包括由因素无法解释的因素。

这是不对的。

我们教材上，认为无法解释的因素包括alpha和residual。

同学可以看看下页的讲义画红框部分：



----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 444

    浏览
相关问题

NO.PZ202207040100000406 问题如下 Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alph B.small-ctilt. C.value being out of favor. B is correct. Shaw’s comment about a small-ctilt is correct. Aitionexposure to smaller firms resultein a positive performanof 0.02% for the Size factor.A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%). 不是portfolio-benchmark=0.03吗？那是啥？请详解

2024-08-14 22:23 1 · 回答

NO.PZ202207040100000406问题如下 Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alpha.B.small-ctilt.C.value being out of favor. B is correct. Shaw’s comment about a small-ctilt is correct. Aitionexposure to smaller firms resultein a positive performanof 0.02% for the Size factor.A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%). 如问，请老师，谢谢🙏

2024-07-03 07:40 1 · 回答

NO.PZ202207040100000406 问题如下 Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alph B.small-ctilt. C.value being out of favor. B is correct. Shaw’s comment about a small-ctilt is correct. Aitionexposure to smaller firms resultein a positive performanof 0.02% for the Size factor.A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%). 如题

2024-05-17 02:52 1 · 回答

NO.PZ202207040100000406 问题如下 Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alph B.small-ctilt. C.value being out of favor. B is correct. Shaw’s comment about a small-ctilt is correct. Aitionexposure to smaller firms resultein a positive performanof 0.02% for the Size factor.A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%). A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.【alpha一般不是指porfolio return 超出benchmark 的部分么？原来的表述没有错，怎么理解这里的解析？】C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%).【这里对比的数据都是用russle benchmark 那栏数据，和market那栏数据，没有用value fun 这里怎么理解呢？】

2024-01-20 15:49 1 · 回答

NO.PZ202207040100000406 问题如下 Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alph B.small-ctilt. C.value being out of favor. B is correct. Shaw’s comment about a small-ctilt is correct. Aitionexposure to smaller firms resultein a positive performanof 0.02% for the Size factor.A is incorrect. Alpha is finehere to inclu performanunexplainethe factors anmatches thof the benchmark.C is incorrect. Although the value style es appeto out of favor shown the lower return ththof the market (0.66% versus 0.71%), the Value factor ha positive contribution to the return (0.08%). 表格里的Inx后面明明加着一个benchmark凭什么就说它不是benchmark啊？

2023-12-16 17:11 1 · 回答