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Keywords: Factor models
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Journal Articles
Journal of Capital Markets Studies (2019) 3 (1): 68–81.
Published: 21 June 2019
... to May 2015. The initial analysis includes the use of various risk-adjusted performance measures, including Sharpe ratio, Treynor ratio, Information ratio, Sortino ratio and M2. The study also uses four factor models, including Jensen single-factor model, Fama–French three-factor...

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