选项问题

问题如下：

A risk analyst is estimating the return of an investment portfolio using the Fama-French three-factor model. The analyst regresses thirty years of weekly portfolio returns against the three factors of the model. The analyst obtains the following regression results:

Assuming all estimated coefficients are statistically significant, which of the following is correct?

选项：

A.The portfolio return is positively correlated with the size factor, and this should decrease its performance since small-cap stocks generally underperform large-cap stocks over time. B.The portfolio return is positively correlated with the value factor, and this should increase its performance since stocks with low book-to-market values generally underperform stocks with high book-to-market values over time. C.The portfolio return is negatively correlated with the size factor, and this should increase its performance since stocks with high market capitalizations generally outperform stocks with low market capitalizations over time. D.The portfolio return is negatively correlated with the value factor, and this should decrease its performance since value stocks generally outperform growth stocks over time.

解释：

The two Fama-French factors, SMB and HML, are factors that measure size and value-growth exposures, respectively. The SMB factor measures the relative performance of small-capitalization stocks compared to large-capitalization stocks. Small stocks tend to outperform large stocks over time (although evidence of this effect has become weaker in recent years), and a positive coefficient indicates the portfolio’s exposure to small stocks. SMB is defined as the performance of small capitalization stocks minus the performance of big capitalization stocks. The HML factor measures the relative performance of value stocks compared to growth stocks. Value stocks tend to outperform growth stocks, and a negative coefficient indicates the portfolio’s exposure to growth stocks. HML is defined as the performance of value stocks (those with high book-to-market values) minus the performance of growth stocks (those with low book-to-market values). D is correct because the negative HML factor indicates that the portfolio is more exposed to growth stocks, which would tend to decrease its performance over time.