CHALLENGE 22. Fund Performance Between 1999 and 2008, the returns on Microfund averaged 4% a year. In his 2008 discussion of performance, the fund president noted that this was nearly 6% a year better than the return on the U.S. market, a result that he attributed to the fund's strategy of buying only stocks with outstanding management The following table shows the returns on the market, the size and book-to-market factors, and the interest rate during this period: Market Return on Return on Book- Interest Return Size Factor to-Market Factor Rate 20.6% 1999 2000 -17.5 2001 -15.2 2002 -22.8 2003 30.8 200407 15.3% 1.5 18.6 3.6 27.8 5.1 -342% 39.5 18.7 10.5 1 3.8 9.8 9.1 14.3 -12.2 1.0 1.0 1.2 3.0 4.8 3.1 2006 106 3.8 1.6 The fund had marketed itself as a way to invest in small and medium-sized stocks, and this was reflected in a beta relative to the size factor of 1.1. It had also traditionally adopted a conservative approach to risk with an estimated market beta to the period. of .7. The fund's beta relative book-to-market factor was -2. Evaluate the performance of the fund during this falin In footnnte 4 we noted that the minimum-risk portfolio con- CHALLENGE 22. Fund Performance Between 1999 and 2008, the returns on Microfund averaged 4% a year. In his 2008 discussion of performance, the fund president noted that this was nearly 6% a year better than the return on the U.S. market, a result that he attributed to the fund's strategy of buying only stocks with outstanding management The following table shows the returns on the market, the size and book-to-market factors, and the interest rate during this period: Market Return on Return on Book- Interest Return Size Factor to-Market Factor Rate 20.6% 1999 2000 -17.5 2001 -15.2 2002 -22.8 2003 30.8 200407 15.3% 1.5 18.6 3.6 27.8 5.1 -342% 39.5 18.7 10.5 1 3.8 9.8 9.1 14.3 -12.2 1.0 1.0 1.2 3.0 4.8 3.1 2006 106 3.8 1.6 The fund had marketed itself as a way to invest in small and medium-sized stocks, and this was reflected in a beta relative to the size factor of 1.1. It had also traditionally adopted a conservative approach to risk with an estimated market beta to the period. of .7. The fund's beta relative book-to-market factor was -2. Evaluate the performance of the fund during this falin In footnnte 4 we noted that the minimum-risk portfolio con