1000 universe. Earnings forecasts and breadth generate greater asset selec-
tion in small stock universes than in larger stock universes. Moreover, as the
firm size decreases, the CTEF variable is more statistically associated with
risk index returns, such as earnings yield. The factor exposures increase as
the size of firms decrease. The earnings yield variable loading is statistically
significant in the Russell 2000 universe. The reader is referred to Table 8.10.
226 THE USE OF FINANCIAL INFORMATION IN THE RISK AND RETURN OF EQUITY
TABLE 8.9 CTEF Variable, Russell 2000 Universe. Attribution Analysis:
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 11.73 18.42
Expected Active –0.11 N/A N/A N/A
Market Timing 0.09 0.45 0.05 0.17
Risk Indexes 0.90 1.11 0.68 2.36
Sectors –0.02 0.95 0.02 0.07
Asset Selection 8.81 4.67 1.61 5.57
Total Exceptional Active 9.79 4.88 1.71 5.90
Total Active 9.68 4.88 1.69 5.83
Total Managed 21.41 17.67
TABLE 8.10 CTEF Variable Factor Exposures, Russell 2000 Universe. Attribution
Report: 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 –0.12 0.04 –0.17 –0.13 0.57 –0.22 –0.76
Momentum 0.10 –0.07 0.06 0.00 0.57 0.04 0.15
Size 0.03 –0.03 –0.09 –0.12 0.26 –0.39 –1.33
Size Nonlinearity 0.05 –0.03 0.13 0.11 0.36 0.21 0.73
Trading Activity –0.04 –0.03 0.00 –0.03 0.19 –0.15 –0.51
Growth –0.07 0.07 –0.01 0.06 0.18 0.28 0.97
Earnings Yield 0.24 1.24 –0.14 1.10 0.74 1.25 4.31
Value 0.04 0.02 –0.01 0.01 0.16 0.04 0.13
Earnings Variation –0.06 0.08 0.00 0.08 0.18 0.37 1.29
Leverage –0.05 0.00 0.02 0.02 0.16 0.15 0.53
Currency Sensitivity –0.01 0.00 -0.04 –0.03 0.12 –0.25 –0.88
Yield –0.02 0.00 –0.06 –0.06 0.20 –0.23 –0.79
Non-Est Universe –0.01 0.01 –0.11 –0.10 0.21 –0.39 –1.35
Total 0.90 1.11 0.68 2.36