PpAtxRBt PpAxMBPpAxRBMB J6PpAtx6RBt t t t t

The calculation of total active systematic return is as follows. 1.5234% = 1.5000% + 0.0188% + 0.0047%

Figure 3: Examining Active Systematic Returns

(1)

(2)

(3)

(4)

(5)

t

ppaW

rbW

. ßPA« X Rß(t)

5ßPA(t)

1

0.020

0.060

0.001200

-0.00830

2

0.025

0;055

0.001375

0.00417

3

0.023

0.050

0.001150

0.00217

4

0.018

0.058

0.001044

-0.00283

5

0.015

0.067

0.001005

-0.00583

6

0.022

0.069

0.001518

0.00117

7

0.027

0.070

0.001890

0.00617

8

0.021

0.065

0.001365

0.00017

9

0.019

0.058

0.001102

-0.00183

10

0.015

0.053

0.000795

-0.00583

11

0.021

0.062

0.001302

0.00017

12

0.024

0.062

0.001488

0.00317

Sum

0.250

0.729

0.015234

(6)

(7)

(8)

(9)

(10)'

5RB(t)

Rß - Mb

ßPAxMB

ßPAx(RB-MB)

SßPA(t) X 8RB(t)

-0.00075

0.0008

0.00125

0.000016

0.000001

-0.00575

0.0008

0.00125

0.000016

-0.000024

-0.01075

0.0008

0.0012.5

0.000016

-0.000023

-0.00275

0.0008

0.00125

0.000016

0.000008

0.00625

0.0008

0.00125

0.000016

-0.000036

0.00825

0.0008

0.00125

0.000016

0.000010

0.00925

0.0008

0.00125

0.000016

0.000057

0.00425

0.0008

0.00125

0.000016

0.000001

-0.00275

0.0008

0.00125

0.000016

0.000005

-0.00775

0.0008

0.00125

0.000016

0.000045

0.00125

0.0008

0.00125

0.000016

0.000000

0.00125

0.0008

0.00125

0.000016

0.000004

0.015000

0.000188

0.000047

ßpa

0.021

Expected Active Beta Return

1.5000%

rb

6.08%

Active Beta Surp

irise

0.0188%

mb

6.00%

Active Benchmark Timing Return

0.0047%

Total Active Systematic Returns

1.5234%

0 0

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