Same factor risks, same expected return?
Separate factor surprises from risk premiums, copy a fund’s exposures and see how arbitrage closes a return gap. Solve has 10 questions with worked answers.
A factor surprise measures what forecasts missed
A factor surprise measures what forecasts missed
From factor surprises to a realised return
- Find the growth surprise as actual growth minus expected growth.
- Find each factor contribution and the realised stock return.
- Subtract expected return from realised return. Which surprises explain that difference, and does one realised return prove an arbitrage?
Open a working step to build the picture.
Exam coming up and the arbitrage table never seems to add up?
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