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An active portfolio manager outperformed the benchmark last year by 2.87 %, where the benchmark is the S&P500 index. In analyzing the portfolio for return
An active portfolio manager outperformed the benchmark last year by 2.87 %, 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 | 0.95 | 1.04 | 5.52 |
SMB | -0.96 | -1.04 | 2.21 |
HML | 0.31 | 0.05 | 4.67 |
WML | 0.19 | 0.09 | 7.75 |
What was the return to the portfolio resulting from the security selection component?
The answer is 12
Please show how to get that in excel
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