An Interpretation of SDF Based Performance Measures

Paul Söderlind

Review of Finance, 1999, vol. 3, issue 2, 233-237

Abstract: This note discusses stochastic discount factor (SDF) measures of mutual fund performance. It shows that the most common SDF performance measures can be interpreted as Jensen's "alphas". JEL Classification Numbers: G11, G12, G23

Date: 1999
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