E X H I B I T 1 1 Performance Attribution
E X H I B I T 1 2 Fama–French Three-Factor Model
Source: Bloomberg.
The Founder-CEO Factor—Is It Real?
effect (attributed to founder-CEO model), equity return (summary), country, U.S. market, industry (summary), Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Materials, Utili- ties, Communication, Technology, style (summary), dividend yield, earnings variable, growth, leverage, momentum, profit, size, trade activity, value, volatility, currency, and time return. 57 Most of the factors have modest inf luence. We show the results in Exhibit 14. In our analysis, we evaluate factors contributing to the total active return during the period: December 29,
In an attempt to be exhaustive in the search for other explanatory factors in assessing the 60.79% excess returns, we utilize the Bloomberg factor model to include virtually every style, sector, country, currency, time-weighted, and other factors available. In addition to the Fama–French three factors and momentum (from the Carhart model), we encompass many others. In final form, the complete analysis we report includes 30 factors: total active return, factor return (summary), selection
W INTER 2017
T HE J OURNAL OF I NDEX I NVESTING
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