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

tzdsgn · 2023年07月23日

阿尔法

  1. CFA III
  2. Equity

NO.PZ2023010903000058

问题如下：

On viewing Exhibit 1, Shaw makes the following comments about the MFC Value Fund:

l The small-cap tilt helped.

l Value funds were out of favor, as shown by the Value factor results.

l Of course, the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark.

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：

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%).

这里的阿尔法应该怎么表达是正确的呢

添加评论
4 个答案
已采纳答案

笛子_品职助教 · 2023年08月01日

嗨，爱思考的PZer你好：


想问的是这句话怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 这句话是错误的，这个理解的。实际题目里都是-0.05%，the MFC Value Fund 是和benchmark有equal alpha吗


The MFC Value Fund must have a equal alpha to its benchmark.

And the MFC Value Fund performance was 0.03 percentage point worse than its benchmark.


就按以上方式表达即可。意思是：alpha 相等，performance 低0.3 百分点。


----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

笛子_品职助教 · 2023年07月31日

嗨，从没放弃的小努力你好：


1.2000是什么，bps吗？ 2.the MFC Value Fund is 0.03 percentage point worse than its benchmark. 这个是由4个因子和alpha一起贡献的对吧 3.Russel和fund alpha都是0.05%，为什么不能说是equal吗

是Russell 1000，不是2000，笔误了。

是由4个因子和alpha组成

0.05%可以说equal，但我从问题看，没看到题目中有涉及equal的问题。同学可以把涉及equal的句子再贴一下，老师看看。

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

tzdsgn · 2023年07月31日

想问的是这句话怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 这句话是错误的，这个理解的。实际题目里都是-0.05%，the MFC Value Fund 是和benchmark有equal alpha吗

笛子_品职助教 · 2023年07月28日

嗨，努力学习的PZer你好：


想问的是这句话真对题目怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 是equal alpha吗


MFC与russel 2000的收益差，并不是alpha。收益差里包含了4个因子收益的差距 + alpha的收益差距

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

tzdsgn · 2023年07月28日

1.2000是什么，bps吗？ 2.the MFC Value Fund is 0.03 percentage point worse than its benchmark. 这个是由4个因子和alpha一起贡献的对吧 3.Russel和fund alpha都是0.05%，为什么不能说是equal吗

笛子_品职助教 · 2023年07月25日

嗨，爱思考的PZer你好：


用以下讲义截图红框内容，来表示alpha，是最正确的，这是原版书的阐述。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

tzdsgn · 2023年07月27日

想问的是这句话真对题目怎么表达是准确的the MFC Value Fund must have a lower alpha because its performance was 0.03 percentage point worse than its benchmark. 是equal alpha吗

  • 4

    回答

  • 1

    关注

  • 595

    浏览
相关问题

NO.PZ2023010903000058问题如下 On viewing Exhibit 1, Shmakes the following comments about the MFC Value Funl The small-ctilt helpel Value fun were out of favor, shown the Value factor results.l Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.Whiof Shaw’s comments about the MFC Value Funin Exhibit 1 is most accurate? The comment concerning: A.alphaB.small-ctiltC.value being out of favor 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%). 罗素1000不就是一个小盘股指数吗？然后return是负的

2024-07-30 08:09 2 · 回答

NO.PZ2023010903000058 问题如下 On viewing Exhibit 1, Shmakes the following comments about the MFC Value Funl The small-ctilt helpel Value fun were out of favor, shown the Value factor results.l Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.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 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%). 1、关于alpha的解析没有看懂，请老师再详细分析一下

2024-07-24 23:48 2 · 回答

NO.PZ2023010903000058 问题如下 On viewing Exhibit 1, Shmakes the following comments about the MFC Value Funl The small-ctilt helpel Value fun were out of favor, shown the Value factor results.l Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.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 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%). Fun比于benchmark的超额，一般不是也叫alpha吗？这里不是MFC是小于benchmark吗？另外，这里market是干嘛的？一般我们只和benchmark比吧？需要观察market吗？

2024-07-16 16:47 1 · 回答

NO.PZ2023010903000058 问题如下 On viewing Exhibit 1, Shmakes the following comments about the MFC Value Funl The small-ctilt helpel Value fun were out of favor, shown the Value factor results.l Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.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 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%). 通过图表能看出来是size有贡献，但是怎么能判断出来是小市值small cap有帮助呢，从哪里看出来的？

2024-07-05 17:16 1 · 回答

NO.PZ2023010903000058 问题如下 On viewing Exhibit 1, Shmakes the following comments about the MFC Value Funl The small-ctilt helpel Value fun were out of favor, shown the Value factor results.l Of course, the MFC Value Funmust have a lower alpha because its performanw0.03 percentage point worse thits benchmark.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 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%). RT

2024-02-10 11:51 1 · 回答