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The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds
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The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds (2011)The Sharpe Ratio's Market Climate Bias: T…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Risk-Adjusted Performance (1997)Risk-Adjusted PerformanceOn Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Survivor Bias and Mutual Fund Performance (1996)Survivor Bias and Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Performance Persistence (1995)Performance PersistenceThe Sharpe Ratio (1994)The Sharpe RatioCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Portfolio Performance Evaluation: Old Issues and New Insights (1989)Portfolio Performance Evaluat…Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…How to Use Security Analysis to Improve Portfolio Selection (1973)How to Use Security Analysis …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformanceCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Socially responsible investments: Institutional aspects, performance, and investor behavior (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)Capital markets research in accounting (2001)Investment Analysis and Portfolio Management. (1979)Modern Portfolio Theory and Investment Analysis. (1982)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Does it pay to be different? An analysis of the relationship between corporate social and financial performance (2008)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Survivorship Bias in Performance Studies (1992)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)Costly Search and Mutual Fund Flows (1998)Mutual Fund Flows and Performance in Rational Markets (2004)The capital asset pricing model: Some empirical tests (1972)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19645,527 cited
  • 1966Mutual Fund Performance4,089 cited
  • 1994The Sharpe Ratio2,645 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 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
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1995Performance Persistence946 cited
  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • 2002The Statistics of Sharpe Ratios856 cited
  • 1973How to Use Security Analysis to Improve Portfolio Selection822 cited
  • 1996Survivor Bias and Mutual Fund Performance599 cited
  • 1989Portfolio Performance Evaluation: Old Issues and New Insights583 cited
  • 1997

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Risk-Adjusted Performance
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