阿同學(xué)
2020-07-23 09:53老師，第一題記得老師上課說(shuō)rewarded factor weighting是對(duì)風(fēng)險(xiǎn)因子權(quán)重把握帶來(lái)的超額收益，對(duì)于風(fēng)險(xiǎn)因子的擇時(shí)把握，alpha是選股帶來(lái)的超額收益。這里我選了factor
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Kevin助教
2020-07-23 17:34
該回答已被題主采納
同學(xué)你好！
原版書(shū)468頁(yè)的原話(huà)是：simple static exposure to known rewarded factors is no longer widely considered a source of alpha. However, successfully timing that exposure would be a source of alpha.
題目中說(shuō)的是skillfully timing exposure，所以這里是alpha skill的一種，而不是factor weighting。
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