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Performance Measurement with Factor Models

Reference: DARDEN-F-1673-E
Number of pages: 9
Publication Date: Aug 14, 2012
Fecha de edición: Nov 27, 2012
Source: Darden University of Virginia (USA)
Type of Document: Technical Note
Industry Setting: Banking/Finance/Insurance

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Description

Identifying an appropriate benchmark is an essential step in assessing a manager’s performance. In the prospectus or fund advertising materials, a benchmark for the fund is typically identified, and the performance of the fund relative to that benchmark is given. The issue of concern is whether or not the benchmark provided has a similar risk profile to the fund.

Keywords

capital asset pricing model fund benchmark large cap growth mid cap Russell Midcap Index small cap