Question: After reading the case Smart Beta Exchange-Traded Funds and Factor Investing answer the following questions: Using the data in Exhibit 1, calculate the annualized

After reading the case "Smart Beta Exchange-Traded Funds and Factor Investing" answer the following questions:

  1. Using the data in Exhibit 1, calculate the annualized average returns for the six groups of quintile portfolios (beta, size, B/M, profitability, investment, momentum) from 2005 till 2014 and plot the results for each factor. Do Fama and French findings, in figures 1 to 6, hold true for this period? Why or why not?

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