选项D为何不对？

问题如下：

A portfolio manager is constructing an equity portfolio that will include several equities from multiple industries. The manager aims to achieve mean/variance optimization and asks a group of analysts to perform alpha analysis and also to estimate other portfolio inputs. As part of the alpha analysis, the analysts adjust alphas based on the portfolio’s constraints and exclude very large positive and negative alphas from their calculations. Additionally, the analysts plan to remove biases or undesirable bets from the alphas. Which of the following procedures should the analysts apply to execute this plan?

选项：

A.

Stratification

B.

Scaling

C.

Neutralization

D.

Trimming

解释：

C is correct. We can remove biases or undesirable bets from our alphas by neutralization. Benchmark neutralization means that the benchmark has 0 alpha. If our initial alphas imply an alpha for the benchmark, the neutralization process recenters the alphas to remove the benchmark alpha. We may also want to make the alphas cash-neutral; i.e., the alphas will not lead to any active cash position. It is possible to make the alphas both cash- and benchmark-neutral. We can also neutralize the alphas against the risk factors. The neutralized alphas will include only information on the factors the manager can forecast, along with specific asset information. Once neutralized, the alphas of the risk factors will be 0. For example, a manager can ensure that her portfolios contain no active bets on industries or on a size factor.

A is incorrect. Stratification is not an alpha refinement method; it is a portfolio construction method.

B is incorrect. Alphas must have already been scaled when the constraints were incorporated into the calculations.

D is incorrect. Analysts already applied trimming by excluding very large positive and negative alphas from calculations.