Question: What is the value added to active management that is contributed from the active exposures to the three Fama-French risk factors Factor Risk Factors MGD

What is the value added to active management that is contributed from the active exposures to the three Fama-French risk factors Factor Risk Factors MGD BM Active Return 1.010 1.000 0.010 9% smb 0.300 -0.200 0.500 4% hml 0.200 -0.100 0.300 -5% mkt Sectors Manufacturing Transportation Retail Finance Utilities O 11 bps MGD 0.230 0.150 0.500 0.010 0.110 BM 0.200 0.300 0.100 0.300 0.100 Active 0.030 -0.150 0.400 -0.290 0.010 6% 10% 13% 6% 17% O 11 96 59 bps O 114 bps
Step by Step Solution
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
