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An Interpretation of SDF Based Performance Measures |
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| Authors: | Paul Söderlind |
| Institution: | (1) Stockholm School of Economics, PO Box 6501, SE-113 83 Stockholm, Sweden E-mail: Paul.Soderlind@hhs.se |
| Abstract: | This note discusses stochastic discount factor (SDF) measures of mutual fundperformance. It shows that the most common SDF performance measures can beinterpreted as Jensen's ``alphas'. |
| Keywords: | mean-variance intersection managed portfolios conditional alphas and betas |
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