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Evaluating Portfolio Performance
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Evaluating Portfolio Performance (2013)Evaluating Portfolio PerformanceHow to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Do mutual funds time the market? Evidence from portfolio holdings (2007)Do mutual funds time the mark…Short-Term Persistence in Mutual Fund Performance (2004)Short-Term Persistence in Mut…On the Timing Ability of Mutual Fund Managers (2001)On the Timing Ability of Mutu…Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance (1998)Conditioning Manager Alphas o…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Performance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)A Study of Monthly Mutual Fun…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts (1981)On Market Timing and Investme…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)Is Money Really 'Smart'? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence (2003)The Interim Trading Skills of Institutional Investors (2011)Mutual Fund's R 2 as Predictor of Performance (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Theory of Financial Decision Making. (1988)The Sharpe Ratio (1994)The Price of Correlation Risk: Evidence from Equity Options (2009)Risk Shifting and Mutual Fund Performance (2011)Volatility‐Managed Portfolios (2017)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 2004Short-Term Persistence in Mutual Fund Performance657 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons581 cited
  • 2001On the Timing Ability of Mutual Fund Managers580 cited
  • 1981On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts504 cited
  • 1994A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques474 cited
  • 1998Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance

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430 cited
  • 2007Do mutual funds time the market? Evidence from portfolio holdings372 cited
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