Related to Factor Model based benchmark, from the curriculum: " In addition, they are ambiguous. We can build multiple benchmarks with the same factor exposures, but each benchmark can earn different returns.
From the CFA Boston Society mock exam: “As multiple portfolios can be constructed to match a particular set of factors, the benchmark is not necessarily investible, since it is possible to buy a selection of securities that will match the same factors but not the index performance.”
So… what???