Performance Evaluation - HML

问题如下：

4 Based on Exhibit 1, the manager could have delivered more value to the portfolio during the investment period by weighting more toward:

选项：

value stocks.

small-cap stocks.

momentum stocks.

解释：

C is correct.

Had the manager weighted more toward momentum stocks during the period, the momentum factor (WML) return of 3.38% would have contributed positively to the portfolio.
A is incorrect because the HML factor return was –9.60%; thus, weighting more toward value stocks would have detracted from portfolio returns.
B is incorrect because the SMB factor return was –3.25%; thus, weighting more toward small-cap stocks would have detracted from portfolio returns.