Credit risk: risk issuer will not pay promised CFs
Credit ratings are a standard way to measure
Yields higher for lower rated debt
Yield \(\neq\) expected return!
Performance Evaluation (4%)
Evaluating Asset Managers
\(\alpha\)’s from a factor model are average benchmark-adjusted average returns
Atrribution analysis: performance can be decomposed into the benchmark component(s) (factor loadings times factor realizations) and the active component.
Taxes (4%)
Tax-efficient Investing
Calculating Taxes
Effects of deductibility of tax-advantaged savings