NO.PZ202207040100000406
问题如下:
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:
B is correct. 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%).
1.size有0.02%收益,可以看出favour,但怎么看出是small-tilt?
2.value有0.11%收益,也可以判断favour,那是什么tilt?
3.本题分析思路是主要对比market和fund两列数据吗?除了在分析alpha的时候需要对比BM和fund