Question: b) A returns-based style analysis on an active equity fund reveals the following regression statistics: Coefficient t-statistic Intercept 0.491 2.962 Russell 1000 Value -0.788

b) A returns-based style analysis on an active equity fund reveals the

b) A returns-based style analysis on an active equity fund reveals the following regression statistics: Coefficient t-statistic Intercept 0.491 2.962 Russell 1000 Value -0.788 -1.546 Russell 1000 Growth 0.070 1.558 Russell 2000 Value 1.093 4.733 Russell 2000 Growth 0.452 1.543 Sum of size/style coefficients 0.826 R-squared 0.917 i. What can be concluded about the size and style risk exposure of the fund? ii. Does the manager appear to have skill? Explain briefly with words or calculations. iii. How much of the total return variation does this regression model explain?

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