Evaluating Mutual Funds Styles and Performance
3 Pages Posted: 19 Dec 2003
Mutual fund performance evaluation in its simplest form in a first-year MBA investments course can be thought of as examining the residual alpha of a fund after controlling for multiple beta risks. This empirical exercise, which may be used with the teaching note, Understanding Risk and Return, the CAPM, and the Fama-French Three-Factor Model, allows students to apply their understanding of multi-factor models to a typical real-world investment problem. The case is accessible for students that have a basic understanding of multiple regression.
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