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

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

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