Exhibit 1
Fraser Fund and Benchmark Average Monthly Performance over the Past 10 years
| Russell 1000 Value Index | The Fraser Fund | Factor Performance | |
| Monthly performance in excess of the risk-free rate | 0.72% | 0.55% | |
| β to specified factor | |||
| Market | 0.90 | 0.91 | 0.61% |
| Size | –0.27 | 0.15 | 0.17% |
| Value | 0.38 | 0.60 | 0.18% |
| Momentum | 0.15 | 0.08 | 0.72% |
| Average monthly risk-free rate | 0.33% 这是一题官网题，根据这个表的信息，我想问一下的是1. 我们学的building block 三个部分构成 excess return，excess return 是actual performance - Rb 的超额收益吧？2. 这题解法 | ||
Return from rewarded factors = (0.91 × 0.61%) + (0.15 × 0.17%) + (0.60 × 0.18%) + (0.08 × 0.72%) = 0.75%. Return from unrewarded factors = 0.55% – 0.75% = –0.20%. excess return 不是由三部分构成的吗？不应该是 return from over/underweight rewarded factors, alpha 以及sizing position? 而且这里的excess return为什么是超过Rf部分？没看懂解法。
