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.
small-cap tilt.
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%).
老师您好，我理解的small-cap tilt是应该和benchmark相比，也就是0.06%，但是答案中说 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.这是跟market去比较，请问是到底和那个比得到的？
