E X H I B I T 1 3 Factor Analysis: Carhart Model
Source: Bloomberg.
E X H I B I T 1 4 Complete Factor Analysis: 30 Factors Including Founder-CEO index
Source: Bloomberg.
2006 through December 31, 2015. The complete period demonstrates very strong capital market appreciation, although clearly parts of this economic cycle (November 2007–March 2009) experience strong market decline. As Exhibit 14 makes clear, during the nine-year period of December 29, 2006 through December 31, 2015, the founder-CEO index (shown by the green line)
outperforms the VUG benchmark by 60.79%. The selec- tion effect or founder-CEO index is, by far, the domi- nant factor. No factor among the other 29 comes close. Of the 60.79% total active return (shown by the blue line), the selection effect (founder-CEO index) helps explain 59.32%. The remaining balance of 1.47% aston- ishingly represents all of the remaining factors combined.
L EADERSHIP M ATTERS : C RAFTING A S MART B ETA P ORTFOLIO WITH A F OUNDER -CEO T WIST
W INTER 2017
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