You are a British stock portfolio manager. Your performance is measured against the FTSE index, a broadly based British stock index. It is observed that small-cap stocks outperform large-cap stocks over prolonged periods of time (small cap effect), but are periods when the reverse is true. It is also observered that value stocks (firms with low price-to-book ratios) outperform growth stocks over prolonged periods of time (value-growth effect), but there are time when the reverse occurs. How would an attribute factor model be useful in estimating the risks that your performance deviates from that of the assingned benchmark?

Answer: 

A) a portfolio with an exposure to these factors that differ from the exposuer of the FTSE is likely to deviate from the performance of the index. 

B) a portfolio with an exposure to these factors that differ from the exposuer of the FTSE is likely to NOT deviate from the performance of the index, 

C) a portfolio with an exposure to these factors that differ from the exposuer of the FTSE is likely to Match the performance of the index. 

D) a portfolio with an exposure to these factors that differ from the exposuer of the FTSE is likely to have no discernible effect.