Lecture

Financial Performance Evaluation

In course
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Description

This lecture covers the evaluation of fund performance using the Sharpe Capital Asset Pricing Model (CAPM) and empirical evidence. It discusses the Magellan Fund example, empirical evidence on CAPM, leverage constraints, and the realism of CAPM theory. The lecture also explores the Arbitrage Pricing Theory, Maximum Sharpe Ratio Portfolio, Information Ratio, and the comparison between APT and CAPM. Additionally, it delves into anomalies like Size, Value, and Momentum, as well as factor models like the Fama-French model. The discussion extends to the performance of factors like HML, SMB, and UMD, and the Fama-French three-factor model.

Instructors (2)
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