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
small-cap tilt
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
