问题如下：
David, a hedge fund manager, is considering harvesting illiquidity risk premiums. Which of the following strategies that will be most effictive on portfolio returns?
选项：
A.Acting as a market maker at the individual security levels.
B.Choosing securities within an asset class that are more illiquid.
C.Setting a passive allocation to illiquid asset classes like real estate.
D.Engaging in dynamic factor strategies at the aggregate portfolio level.
解释：
D is correct.
考点：harvest illiquidity premiums:
解析：
D选项：Engaging in dynamic factor strategies at the aggregate portfolio level（在总投资组合层面进行动态因素管理策略），是指在非流动性资产中持有多头头寸，在流动性资产中持有空头头寸，以获得非流动性风险溢价。在投资者获得非流动性风险溢价的四种方式中，这是最容易实施的，对投资组合回报的影响最大。
A、B、C三个选项都是获得非流动性风险溢价的方式，但不是最有效的。
能不能举个例子说明下什么叫dynamic factor？
