1. What is the difference between simple and dynamic investment factors (i.e. what trading strategy is required to capture the risk premium)? Is the market portfolio exposed to any dynamic factors?
1. What two dynamic factors do Fama and French add to the standard CAPM? How could you create a factor mimicking portfolio for each of these two factors (i.e. what long and short position would you need to take)?
1. Does the disappearance of the size effect signal that it was spurious (i.e. firm size was never a risk factor and its premium observed prior to 1980s happened purely by chance) or does it signal a near-efficient market in which practitioners quickly exploit any anomaly?
1. What is the momentum factor? How could you construct a factor mimicking portfolio for the momentum factor?
1. Do value and momentum investing strategies require periodic rebalancing? If so, when is more frequent rebalancing likely to be necessary: when market volatility is high or when it is low