Based on the data provided in Exhibit 3 of the case, in one chart, plot the minimum- variance frontiers (efficient frontier) constructed from the Four MSCI Individual Factor Indexes and the iShares Russell 1000 ETF and iShares small-cap Russell 2000 ETF. Discuss the relationship and differences between the two investments.

Figure 3: Relationship Between Average Returns and the Book-to-Market Ratio 18% 16% 14% 12% 10% Average Return 8% 6% 4% 2% 0% Lowest B/M Quintile 2 Quintile 3 Quintile 4 Highest B/M Figure 3: Relationship Between Average Returns and the Book-to-Market Ratio 18% 16% 14% 12% 10% Average Return 8% 6% 4% 2% 0% Lowest B/M Quintile 2 Quintile 3 Quintile 4 Highest B/M