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Aggregate Performance of Mutual Funds, 1948-1967

137 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1958Liquidity Preference as Behavior Towards Risk 1948The Utility Analysis of Choices Involving Risk 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2012How to Rate Management of Investment Funds 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios

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