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Finance / portfolio investment college year 3 question: SEE THE INFORMATION BELOW You are given the regression results of the following 4 factor model: What
Finance / portfolio investment college year 3 question:
SEE THE INFORMATION BELOW
You are given the regression results of the following 4 factor model:
What is the proportional risk contribution of Rm-Rf?
A) - 4.5%
B) - 3.59%
C) 0.45%
D) 3.59%
Factor Rm-Rf SMB HML Momentum 1.300 Portfolio Benchmark Factor Sensitivity sensitivity Difference return % 0.950 1.050 -0.100 4.5 -1.200 2.500 4.0 0.500 0.600 -0.100 1.250 1.350 -0.100 Return attributed to factors Return attributed to specific asset selection
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