NO.PZ2019042401000051
问题如下：
An individual investor reviews historical data on the performance of several investment funds and decides to create a USD 1 million portfolio that mimics the strategy of Fund CRN, which has consistently generated high alphas. The investor gathers Fund CRN’s monthly returns over the last 10 years and regresses Fund CRN’s monthly excess returns over the risk-free rate against the Fama-French model’s three factors as well as a momentum factor. The investor obtains the following statistically significant estimates:
Which of the following positions is a component of the mimicking portfolio?
选项：
A.
USD 7,000 long position in stocks showing positive momentum
B.
USD 450,000 short position in T-bills
C.
USD 360,000 long position in value stocks
D.
USD 630,000 short position in growth stocks
解释：
C is correct.
The mimicking portfolio should consist of (in percentages):
(1 - 0.55) = 45% in T-bills
+ 55% in the market portfolio
-63% in small caps + 63% in large caps
+ 36% in value stocks – 36% in growth stocks
-7% in past winning stocks + 7% in past losing stocks
The 36% long position in value stocks translates to USD 360,000 for a portfolio of USD 1 million.
Risk Management and Investment Management
Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those factors, and measure alpha against that benchmark.
Andrew Ang, Asset Management: A Systematic Approach to Factor Investing (New York, NY: Oxford University Press, 2014). Chapter 10. Alpha (and the Low-Risk Anomaly)
请问这道题考的是哪个知识点，没有理解怎么计算出来的？
