Equity rewarded factor calculation

CFA Level III Equities
#1

I haven’t been able to explicitly find the calculations for each “rewarded factor” in the book:

  1. Size = small - large
  2. value = value - growth
  3. momentum = ?
  4. quality = ?
  5. market = ?

I’m trying to break down the below exhibit in the book and can’t seem to get it all. Or are the F numerical factors usually given to us?

Thanks in advance!

Exhibit 2. Risk Factor Exposure (February 1990–December 2016)

Russell 1000 Index Russell 1000 Value Index Value Fund Factor Performance
US Market
Monthly performance in excess of the risk-free rate 0.64% 0.66% 0.40% —
β to specified factor:
Market* 0.99 0.92 0.90 0.64%
Size –0.16 –0.23 0.13 0.16%
Value 0.02 0.41 0.59 0.18%
Momentum –0.01 0.13 0.09 0.61%
“Alpha” (monthly) 0.05% –0.05% –0.35% —
R 2 0.99 0.95 0.74

1 Like
#2
  • Size = small - large
  • value = value - growth
  • momentum = winners - losers
  • quality = low quality - high quality (my guess)
  • market = market return - riskfree rate
#3

Numbers will be provided. Focus is on interpretation and knowing what contributed the most to excess return.

#4

Thank you! This is perfect for context