Question
You invest in a mutual fund with beta = 1, SMB slope = 0.5, and HML slope = 0.5. Assume the average returns on your
You invest in a mutual fund with beta = 1, SMB slope = 0.5, and HML slope = 0.5. Assume the average returns on your fund have been 12%, while the average returns on the risk-free rate were 2%; on the market, 10%; on the SMB, 2%; and on the HML, 6%.
What is the average benchmark return for your fund?
Did your fund manager beat their benchmark?
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Calculus
Authors: Dale Varberg, Edwin J. Purcell, Steven E. Rigdon
9th edition
131429248, 978-0131429246
