Question: How do you do this? Market Index Big/GrowthBigValue Small/Growth Small/Value A. 1926-2016 Mean excess return (annualized) Standard deviation (annualized) 11.67 24.62 5.56 28.36 08.30 18.64

How do you do this? Market Index Big/GrowthBigValue Small/Growth Small/Value A.

1926-2016 Mean excess return (annualized) Standard deviation (annualized) 11.67 24.62 5.56 28.36

How do you do this?

Market Index Big/GrowthBigValue Small/Growth Small/Value A. 1926-2016 Mean excess return (annualized) Standard deviation (annualized) 11.67 24.62 5.56 28.36 08.30 18.64 0.45 19.49 0.20 26.21 0.43 18.57 -0.10 Lower partial SD (annualized) 22.78 25.92 2221 -20.47 -17.87 19.05 -14.68 20.59 VaR (1%) actual (monthly) returns VaR(1%) normal distribution % of monthly returns more than 3 -13.95 -15.63 0.94% 0.75% 0.94% SD below mean Expected shortfall (monthly) B. 1952-2016 Mean excess return (annualized) Standard deviation (annualized) -20.33 -25.76 9.92 15.95 18.42 0.72 19.36 0.46 16.01 -0.29 2.26 23.79 -0.36 Lower partial SD (annualized) -16.93 -14.41 15.21 - 11.26 -10.80 10.90 VaR (1%) actual (monthly) returns VaR( 1 %) normal distribution % of monthly returns more than 3 -9.89 1.19% 066% 0.66% SD below mean Expected shortfall (monthly) -18.85 -21.30 -28.33 -24.66 Table 5.4 Statistics for monthly excess returns on the market index and four "style" portfolios Sources Authors' calculations using data from Prot. Kenneth French's Web site: http//mba.tu

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