如果不按照答案做法，用Long E和F，Short D的方式来组合，这样得到的收益是不是会不一样呢？

问题如下：

Wilson explains that she evaluates a variety of domestic equity funds, seeking evidence of arbitrage opportunities among them. She provides a simple example using a one-factor model that assumes the single factor is the only driver of returns. Exhibit 1 displays the data for this example.

Exhibit 1 Portfolio Information for a One-Factor Model

According to the information provided in Exhibit 1, could an arbitrage portfolio most likely be created by some combination of portfolios D, E, and F?

选项：

No

Yes, and the portfolio would earn an expected return of 0.25%.

Yes, and the portfolio would earn an expected return of 8.60%.

解释：

Portfolio E has a factor sensitivity of 1.2 and an expected return of 8.6%. A 50/50 portfolio created from portfolios D and F would have the same factor risk of 1.2 = (1.0 + 1.4)/2 but an expected return of 8.35% = (7.7% + 9.0%)/2. The arbitrage opportunity is creating by purchasing portfolio E and shorting the 50/50 portfolio of D and F. This portfolio would be expected to earn 8.60% and pay out 8.35%, for a net of 0.25%.