A PORTFOLIO WITH A SENSITIVITY OF 1 TO FACTOR J AND A SENSITIVITY OF 0 TO ALL OTHER FACTORS IS CALLED A PURE FACTOR PORTFOLIO FOR FACTOR J

4. - 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

4. C is correct. A portfolio with a sensitivity of 1 to factor j and a sensitivity of 0 to all other

factors is called a pure factor portfolio for factor j. Section 3. LO.c.