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Unformatted text preview: that predicted by CAPM. It is the portfolios alpha value. = Rp [Rf + B (Rm Rf)] c. The M-squared measure of performance d. Choosing the right measure of risk e. Risk adjustments with changing portfolio composition i. One potential problem with risk-adjustment techniques is that they all assume that portfolio risk, whether it is measured by standard deviation or beta, is constant over the relevant time period II. Style analysis III. Performance attribution procedures a. The first step is to establish a benchmark called a bogey b. Asset allocation decisions c. Sector and security selection decisions IV.The Lure of active management...
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This note was uploaded on 05/10/2010 for the course FIN 3504 taught by Professor Staff during the Fall '08 term at University of Central Florida.
- Fall '08