The following is totally confusing:
Reading 60, page 434, Example 14: “BIRR” Model
The BIRR is as it says a Macroeconomic Factor Model. In Table 15, the CFA Curr. treats BIRR as if it were an APT Model - why is that?
Shouldn’t it be modelled as F=Factor Surprise and b=Sensitivity to the Factor Surprise? Rather than Risk Premium for factor j + Sensitivity of the Portfolio to Factor j …