AIM 08.2 Risk-adjusted performance -- Single factor

Oftentimes individuals/institutions are encouraged to deviate from the passive index stock portfolio investment strategy to capture alpha (i.e., abnormal returns). Doing so means that residual risk is assumed. A range of commonly-applied single-factor performance measures and their relation to the CAPM are considered.

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• Required reading

  • Whaley 2023 Risk-adjusted performance -- Single factor

    • ESGU analysis.xlsx

      • ESGU fact sheet

    • PBP analysis.xlsx​

      • PBP fact sheet

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• Lecture notes

  • Slides

    • Support files:

      • IYW analysis.xlsx

        • IYW fact sheet.pdf​

      • BOND analysis.xlsx

        • BOND fact sheet.pdf

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