NO.PZ201710100100000201
问题如下:
1. Based on the information in Exhibit 1, the expected return for Portfolio 1 is closest to:
选项:
A.2.58%.
B.3.42%.
C.6.00%.
解释:
A is correct.
When using a macroeconomic factor, the expected return is the intercept (when all model factors take on a value of zero). The intercept coefficient for Portfolio 1 in Exhibit 1 is 2.58
考点:macroeconomic factor model
解析:宏观经济因子模型的expected return就是它的截距项。根据表格,Portfolio 1的截距为2.58,所以expected return=2.58%
为什么用expectedReturn=ActualReturn-Surprise得到的结果和截距项一样?这样算对么?还是只是巧合?那种方法正确?