WHICH OF THE FOLLOWING STATEMENTS REGARDING MULTIFACTOR MODELS IS...

11. Which of the following statements regarding multifactor models is most likely true?

A. Multifactor models can be used to predict alpha in passively managed portfolios.

B. Factor models have sensitivity of -1 to a particular factor and 0 to all other factors.

C. Multifactor models can be used to replicate a benchmark’s risk exposures for a passively

managed portfolio.