AIM 08.3 Risk-adjusted performance -- Multi-factor

Oftentimes individuals/institutions are invest in funds that have more than one source of market risk. A convertible bond fund, for example, has market exposures to both stocks and bonds. Performance evaluation  measures must account for all of these exposures.

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• Required reading

  • Sharpe 2002, Asset allocation: Management style and performance measurement JPM.

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• Lecture notes

  • Slides

    • Support files:

      • BOND analysis II.xlsx

      • Alpha Beta fund.xlsx

      • Gamma fund.xlsx