Journal ArticleDOI
Aggregate Performance of Mutual Funds, 1948–1967
TLDR
This paper applied a single measure of investment performance to mutual fund portfolios for the 20-year period 1948-1967 and identified two factors that are positively related to fund performance during the time period studied.Abstract:
This paper applies a single measure of investment performance to mutual fund portfolios for the 20-year period 1948–1967. It criticizes the efficacy of market indices, at least for the purpose of evaluating aggregate results of managed portfolios; it tests the predictive value of past results in forecasting future performance; and finally, it identifies two factors that are positively related to fund performance during the time period studied.read more
Citations
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Journal ArticleDOI
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
TL;DR: In this article, the authors present evidence on persistence in the relative investment performance of large, institutional equity managers, and find persistent performance concentrated in the managers with poor prior-period performance measures.
Journal ArticleDOI
Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
TL;DR: In this article, a Bayesian method of performance evaluation was employed to evaluate the performance of 1,437 mutual funds and found that some extremely skeptical prior beliefs nevertheless lead to economically significant allocations to active managers.
Book
A random walk down Wall Street : including a life-cycle guide to personal investing
TL;DR: Malkiel's "Life Cycle Guide to Investing" as discussed by the authors is the best investing guide money can buy, and it includes an update of Malkiel's famous "life cycle guide to investing," showing how to match an investment strategy to your stage in life.
Journal ArticleDOI
On Studies of Mutual Fund Performance, 1962–1991
TL;DR: In this paper, the authors present a study of Mutual Fund Performance, 1962-1991, with a focus on mutual fund performance, focusing on the performance of mutual fund investment managers.
Journal ArticleDOI
Composite Measures for the Evaluation of Investment Performance
James S. Ang,Jess H. Chua +1 more
TL;DR: The reward-to-volatility index as mentioned in this paper is a composite measure of investment performance, and it was developed after Markowitz and Tobin [30] popularized the mean-variance framework of analyzing the problems of certain investments.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
The performance of mutual funds in the period 1945–1964
TL;DR: Jensen's Alpha as discussed by the authors is a risk-adjusted measure of portfolio performance that estimates how much a manager's forecasting ability contributes to the fund's returns, based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated).
Journal ArticleDOI
Liquidity Preference as Behavior towards Risk
TL;DR: In this article, the authors derived the liquidity preference schedule from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Journal ArticleDOI
The Utility Analysis of Choices Involving Risk
TL;DR: In this paper, the authors suggest that an important class of reactions of individuals to risk can be rationalized by a rather simple extension of orthodox utility analysis, i.e., individuals frequently must, or can, choose among alternatives that differ, among other things, in the degree of risk to which the individual will be subject.