SMB stands for a factor portfolio based on size. It is computed as the portfolio returns of
Question:
SMB stands for a factor portfolio based on size. It is computed as the portfolio returns of small size stocks minus portfolio returns of large cap stocks. Negative coefficient is expected since the TRBCX fund invests in large cap stocks and has a negative exposure to this factor. ?
SMB stands for a factor portfolio based on Book to Market Ratio. It is computed as the portfolio returns of value stocks (high book to market) minus portfolio returns of growth stocks (low book to market). Negative coefficient is expected since the TRBCX fund invests in growth stocks and has a negative exposure to this factor. ?
SMB stands for a factor portfolio based on size. It is computed as the portfolio returns of small size stocks minus portfolio returns of large cap stocks. Positive coefficient is expected since the TRBCX fund invests in large cap stocks and should have superior performance compared to investment in small cap stocks ?
SMB stands for a factor portfolio based on momentum strategy. Due to Efficient Market Hypothesis the coefficient is expected to be zero.?
Business Statistics In Practice
ISBN: 9780073401836
6th Edition
Authors: Bruce Bowerman, Richard O'Connell