A. If the fund has net positive beta, a11 of the alpha must come from the market.

B. Ifthe fund has net negative beta, part ofthe alpha comes from the market.

C. Ifthe fund has net positive beta, part ofthe alpha comes from the market.

D. Ifthe fund has net negative beta, a11 ofthe alpha must come from the market.

Answer：C

Because the market went up, a portfolio with positive beta will have part of its positive performance due to the marke effect.

A portfolio with negative beta will have in part a negative performance due to the market. Answer A) is incorrect,

because the fund manager could still have generated some of its alpha through judicious stock picking.

Answers B and D are incorrect, because a negative beta combined with a rising market should lead to a decrease,not an increase,in the alpha.

本文FRM考试网小编，将本题翻译为中文内容如下：

A、如果基金净值为正值，那么阿尔法的a11必须来自市场。

B、如果基金净负面测试，部分α来自市场。

C、如果基金的净收益为正数，部分α来自市场。

D、如果基金净负值β，α必须来自市场。

答案：C

由于市场上涨，具有正面测试版的投资组合将因其市场效应而获得部分积极业绩。

由于市场的影响，负beta的投资组合部分会产生负面的表现。答案A)不正确，

因为基金经理可能仍然通过明智的选股方式产生一些alpha。

答案B和D是不正确的，因为与市场上涨相结合的负面测试版应该会导致alpha的下降，而不是上升。

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