1000 universe are shown in Table 8.8. The CTEF variable has statistically
significant factor loadings on earnings yield and growth, as was the case in
the Russell 3000 universe. The total active return of CTEF variable for the
Russell 2000 universe is shown in Table 8.9.
The CTEF variable produces statistically significant asset selection, and
significant factor exposures, primarily due to the earnings yield exposure.
The earnings forecasting variable produces over 600 basis points annually of
greater asset selection in the Russell 2000 universe than it does in the Russell
Appendix 8.A 225
TABLE 8.7 CTEF Variable, Russell 1000 Universe. Attribution Report:
Annualized Contributions to Total Return
Contribution Risk Info
Source of Return (% Return) (% Std Dev) Ratio T-Stat
Risk Free 4.93 N/A N/A N/A
Total Benchmark 13.58 14.52
Market Timing –0.02 0.25 –0.18 –0.61
Risk Indexes 0.83 1.16 0.62 2.13
Sectors –0.11 1.01 –0.07 –0.23
Asset Selection 1.85 2.76 0.61 2.12
Total Exceptional Active 2.54 3.07 0.75 2.59
Total Active 2.47 3.07 0.73 2.52
Total Managed 16.04 14.96
TABLE 8.8 CTEF Variable Factor Exposures, Russell 1000 Universe.
Attribution Analysis: Annualized Contributions to Risk Index Return
AverageContribution (% Return) TotalSource Active Average Variation Total Risk Info
of Return Exposure [1] [2] [1+2] (% Std Dev) Ratio T-Stat
Volatility –0.01 0.01 –0.07 –0.06 0.17 –0.32 –1.12
Momentum 0.12 –0.07 0.08 0.01 0.60 0.03 0.11
Size –0.20 0.36 –0.09 0.27 0.93 0.24 0.83
Size Nonlinearity –0.02 0.02 0.03 0.05 0.10 0.44 1.52
Trading Activity 0.00 0.00 0.01 0.01 0.11 0.11 0.37
Growth –0.05 0.05 0.03 0.08 0.14 0.48 1.65
Earnings Yield 0.13 0.66 –0.12 0.55 0.40 1.20 4.13
Value 0.06 0.03 0.02 0.06 0.17 0.30 1.03
Earnings Variation 0.02 –0.02 0.00 –0.03 0.10 –0.21 –0.73
Leverage 0.06 –0.01 –0.04 –0.04 0.17 –0.23 –0.80
Currency Sensitivity –0.02 0.01 –0.05 –0.04 0.11 –0.32 –1.11
Yield 0.04 0.01 –0.04 –0.04 0.14 –0.24 –0.81
Non-Est Universe 0.00 0.00 0.01 0.01 0.04 0.20 0.68
Total 0.82 1.16 0.62 2.13