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沪上小王子 · 2024年02月10日

C选项如何理解，0.08是怎么计算得来的

  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%).

RT

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Olive_品职助教 · 2024年02月12日

嗨，爱思考的PZer你好：


是指上图标黄这个数字。

从benchmark的角度，你看MFC是个价值基金，它选的是价值指数作为benchmark即Russell 1000 Value，虽然风格指数的角度看，value style 没有跑赢market(0.66% versus 0.71%)，但是单看价值因子，它的对于收益的贡献度是正的0.08%。

这里当然可以也可以从value fund角度出发，benchmark价值因子对于收益的贡献度是正的0.08%，而MFC获得0.11%超过benchmark，所以value being out of favor说法肯定是错的。

因为罗素1000价值指数就是MFC value fund的benchmark，价值指数看好价值因子，因此获得0.08%的超额收益，说明value style does appear to be out of favor。虽然问的是MFC Value Fund，但是只要benchmark（风格指数）是赚钱的，那么这个风格的因子就没有out of favor。

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