江同學(xué)
2022-05-21 22:24老師好 這道題是怎么看出 quartz 的 dominant factor是momentum的？不是market 和 value嗎？因?yàn)閒actor * return 值大 謝謝
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(gè)回答
開開助教
2022-05-22 15:09
該回答已被題主采納
同學(xué)你好，感謝同學(xué)指正，此題的答案應(yīng)勘誤如下：
Manager A:
1. All four factors contributed positively, showing positive returns. The Market factor was the dominant source of performance. Followed by Value, Momentum and Size factors that contributed positively to performance.
2. Manager A had a significantly negative alpha of –0.30% per month.
Manager B:
1. Market and Momentum factors were the dominant positive sources of performance, followed by the Value factor. No exposure was taken in the Size factor.
2. The minor negative alpha of -0.008% per month was not a major negative source of performance
for Manager B.
目前網(wǎng)校上的文檔是勘誤后的新文檔，同學(xué)可以去下載查看。
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