请问老师C选项哪里错了呢

问题如下：

选项：

A.

There is a negative correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.

B.

There is a positive correlation between portfolio return and the value factor, which indicates that the portfolio moves together with growth stocks.

C.

There is a negative correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.

D.

There is a positive correlation between portfolio return and the size factor, which indicates that the portfolio moves together with large-cap stocks.

解释：

A is correct. The two Fama-French factors, SMB and HML, are factors that measure size and value-growth exposures, respectively. The SMB factor measures the outperformance of small-capitalization stocks versus large-capitalization stocks. D positive SML coefficient indicates that the portfolio is moving together with small cap stocks and a negative SML coefficient indicates that the portfolio is moving together with large cap stocks. The HML factor measures the outperformance of value stocks versus growth stocks. A positive HML coefficient indicates that the portfolio is moving together with value stocks and a negative HML coefficient indicates that the portfolio is moving together with growth stocks. In this question, based on the regression results, the SMB coefficient has a positive value, which means there is a positive correlation between portfolio return and SMB, and the HML coefficient has a negative value, which means there’s a negative correlation between portfolio return and HML.

We can rule out B and C.