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Simon2025-01-10 11:13:20
Simon同学，上午好。
因为Pembroke analyzes the second fund – Prime U. This fund uses a factor-based strategy to rank securities from most attractive to least attractive. The scoring for each security is based on price-to-book value (P/B), 12-month increase in stock price, and return on assets. Its average P/B is 8.8%, price momentum is 14.5%, and net income to assets is 5.2%.
U要选P/B低的，但是U的P/B 8.8，比index还高，所以和U的策略背离了。not consistency with its declared style.
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题中哪里说明U的策略背离是选比index低的P/B比例？
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如果The scoring for each security is based on price-to-book value (P/B)，基于P/B选股，那么P/B是越低越好。现在P/B比index都高，显然就有问题了。
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