AIM 02 Return/risk measurement

Accurate performance evaluation and sensible portfolio decision-making requires accurate measurement of returns and risk.

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• Required reading

  • Whaley 2023 The origin of 252

    • Support file: The origin of 252.xlsx

  • Whaley 2023 CAPM review

  • Whaley 2024 Regression analysis - Mechanics

  • Maurer 20220202 SOFR leads race to replace Libor as interest rate benchmark WSJ

  • FT 20230816 Beware of wealth managers quoting data

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• Lecture notes

  • Slides

    • Support files:

      • US trade dates.xlsx

      • S&P 500 products.xlsx

        • IVV fact sheet.pdf​

        • SPXL fact sheet.pdf

      • VBAs.zip (zipped version of VBAs.xlsm)

      • Overnight rates.xlsx

      • EFFR rates 1954-present.xlsx

      • Traditional asset categories.xlsx

        • BND fact sheet.pdf

        • TLT fact sheet.pdf​​

      • ​Excess return regression.xlsx

      • QQQ ETPs.xlsx (day-of-week seasonality).xlsx