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Dfa Case Essay

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Can you explain the differences and what they might be due to?
The average performance of DFA 9-10 fund excess crsp 9-10 index, but slightly lower than s&p500 index. It means the portfolio is diversified to
eliminate unsystematic risk, but tracking error is also exist.The reason of the tiny difference may be timing or security selection.

Can you explain the differences and what they might be due to?
The average performance of DFA large company value fund has very small difference with crsp cap decile #1. It is a little lower
than S&P 500. It means the portfolio is diversified to eliminate unsystematic risk, but tracking error is also exist.The reason of the tiny difference may be timing or security selection.
the tiny difference may be timing or security selection.

What conclusions can you draw from all this?
Coefficient of RM-RF is a measure of the exposure a fund has to market risk.  
The coefficients of RM-RF of all funds are close to 1. That means the impact
on returns from market factors may be less than impact from value factors.

SMB denotes the risk factor associated with firm size. HML measures value risk. From
observation of regression of these five funds, the small cap funds have higher
coefficient of SMB, large cap funds have negative coefficient of SMB. Small
cap funds are more sensitive to SMB factor. DFA small company value fund
has a coefficient of 0.84 for SMB factor; on the contrary, DFA large company
value fund has a negative coefficient for SMB, which is -0.079. It is the same
for DFA 6-20 mutual fund and DFA nine-ten small company fund.

HML factor indicates high risk exposure for high B/M stock. Coefficient of HML
suggests the relationship between the fund return and high B/M stock.

Coefficients of momentum factor UMD are negative for all these five funds.
It means momentum factor UMD and return are negatively correlated.
How does this compare to the Carhart alphas from #3?
What factors would...

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