Common Factors in Active and Passive Portfolios

The following sections are included:

• Sample

• Analysis

  • THE BASE MODEL

  • A FIFTH INDEX

  • ESTIMATING THE EFFECT OF COMMON HOLDINGS

  • IS IT COMMON HOLDINGS OR A SYSTEMATIC FACTOR?

  • IS THE ADDITION OF MGO ENOUGH?

• Test on Passive Portfolios

• Conclusion

• Acknowledgements

• References