Note: The first factor analysis period is from December 12, 2016 to December 14, 2017. The second factor analysis period is from December 30, 2016 to December 29, 2017. The first analysis follows the period the 2017 MII management team was in control of the portfolio and the second follows the calendar definition of 2017. Risk-adjusted returns are calculated by summing the Fama-French 252-day trailing-alpha to the return of the market as provided by Fama-French.
The following factor analysis abides to the Fama-French Five-Factor Asset Pricing Model: