Question
An active portfolio manager outperformed the benchmark last year by 2.26 %, where the benchmark is the S&P500 index. In analyzing the portfolio for return
An active portfolio manager outperformed the benchmark last year by 2.26 %, where the benchmark is the S&P500 index. In analyzing the portfolio for return attribution using the Carhart 4 factor model, you find the following results:
| Factor | Portfolio Sensitivity | Benchmark sensitivity | Factor return (%) |
| RFRF | 1.05 | 1.02 | 4.67 |
| SMB | -1.05 | -0.99 | 2.54 |
| HML | 0.47 | 0.02 | 4.71 |
| WML | 0.35 | -0.02 | 6.22 |
What was the return to the portfolio resulting from the security selection component?
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Private Equity Value Creation Analysis Volume I
Authors: Michael David Reinard
1st Edition
1736077821, 978-1736077825
