丹同學(xué)
2022-05-02 05:14Q33: 書中18章exhibit 3 那張表的解釋了里提到alive cap tilt。請問為什么是large cap tilt? In Exhibit 3, we show the sources of performance of each product in terms of its exposure to each of the four factors and its respective alpha. In all cases, the Market factor is the dominant source of performance. The Value and Momentum factors did contribute positively to performance for the Russell 1000 Value, but much of this performance was lost because of the large-cap tilt and the negative alpha. The value fund did get a significant performance boost from the Value tilt, but much of it was lost to the very poor alpha in this period.” Excerpt From 2022 CFA Program Level III Volume 3 Fixed Income and Equity Portfolio Management CFA Institute This material may be protected by copyright.
所屬：CFA Level III > Equity Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
開開助教
2022-05-06 17:39
該回答已被題主采納
同學(xué)你好，large cap tilt是針對Russell 1000 Value來說的。根據(jù)前面的表2，我們可以發(fā)現(xiàn)Russell 1000 Value在size factor 上的beta是小于0的，而size factor是小盤股因子，該因子factor 為負(fù)表明指數(shù)是large cap tilt的。表2和表3可以一起看，我們會發(fā)現(xiàn)Russell 1000 Value由size factor貢獻的收益-0.04%就是等于?0.23*0.16%。
【點贊】喲~。加油，祝你順利通過考試~
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