brightcool

I dont agree with you.

I think factor risk premium is constant . So if you increase the slope cofficient, the expected return will increase.It is from active factor difference with the benchmark.

 

brightcool

 你需要明白PORTFOLIO的FACTOR PREMIUM是如何计算的

it is based on the premium between expected return and risk free rate when specific factor sensitivity is 1 and others are 0

so in the formula the premium is constant  and the active portfolio is making active factor return and stock selection

 think about CAPM the factor premium is market premium when beta=1 and no other factors

can you say when portofolio beta increases the market premium will rise?