Might be a basic question but how does one calculate the proportion of active returns here? I tried taking the proportions and divide by active return (-3.99%), but the %s are slightly off. For example - SMB: 0.29%/-3.99 = 7.27% (vs 7.33%).
Appreciate any input on this.
and so on.
Why they decided to drop the negative sign from the active return in the denominator is a mystery.
Thanks but for the rest, like SMB, HML and WML, the calc proportions are slightly off. Thought Iām missing something.
SMB 0.29/3.99 = 7.27% (not 7.33%). Same for HML and WML. Could be that they are using 4dp to calculate the exact proportion.
I suspect that they rounded off the numbers for the table, but used the unrounded numbers for the calculation of the proportion.
