IN STATISTICAL FACTOR MODELS, AN ASSET’S SENSITIVITY TO A FACTOR IS EXPRESSED USING A STANDARDIZED BETA, THE VALUE OF THE ATTRIBUTE FOR THE ASSET MINUS THE AVERAGE VALUE OF THE ATTRIBUTE ACROSS ALL STOCKS DIVIDED BY THE STANDARD DEVIATION OF THE ATTRIBUT...

2. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK
CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK

2. In statistical factor models, an asset’s sensitivity to a factor is expressed using a

standardized beta, the value of the attribute for the asset minus the average value of the

attribute across all stocks divided by the standard deviation of the attribute’s values

across all stocks.”