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asset-returns

  1. Nicole Seaman

    P2.T9.20.5. The low-risk anomaly of asset returns

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha and describe characteristics of an effective benchmark to measure alpha...
  2. Nicole Seaman

    P2.T9.20.4. Factors: rebalancing, style and more volatility risk

    Learning objectives: Assess methods of mitigating volatility risk in a portfolio and describe challenges that arise when managing volatility risk. Explain how dynamic risk factors can be used in a multifactor model of asset returns, using the Fama French model as an example. Compare value and...
  3. Nicole Seaman

    P2.T9.20.3. Factors: value, growth, inflation, and volatility

    Learning objectives: Describe the process of value investing and explain reasons why a value premium may exist. Explain how different macroeconomic risk factors, including economic growth, inflation, and volatility affect risk premiums and asset returns. Questions: 20.3..1. According to Andrew...
  4. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha...
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