问题如下：
4 Based on Exhibit 1, the manager could have delivered more value to the portfolio during the investment period by weighting more toward:
选项：
A.value stocks.
small-cap stocks.
momentum stocks.
解释：
C is correct.
Had the manager weighted more toward momentum stocks during the period, the momentum factor (WML) return of 3.38% would have contributed positively to the portfolio.
A is incorrect because the HML factor return was –9.60%; thus, weighting more toward value stocks would have detracted from portfolio returns.
B is incorrect because the SMB factor return was –3.25%; thus, weighting more toward small-cap stocks would have detracted from portfolio returns.
您好，请问这个MOMENTUM的SENSITIVITY FACTOR系数不是负的吗, FACTOR RETURN是正的，一负一正相乘也是负的，也就是说会给整个组合带来负数的回报？
