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## The performance of mutual funds in the period 1945-1964 (1968)

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Venue: | JOURNAL OF FINANCE |

Citations: | 580 - 1 self |

### Citations

2005 | Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." - Sharpe - 1964 |

1151 | The Behavior of Stock Market Prices - Fama |

1063 | The Variation of Certain Speculative Prices - Mandelbrot - 1963 |

994 | Portfolio Selection: Efficient Diversification in Investments - Markowitz - 1959 |

510 | Econometric Methods - Johnston - 1984 |

499 |
Mutual Fund Performance,
- Sharpe
(Show Context)
Citation Context ...manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; =-=Sharpe, 1966-=-; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor (1965).sJensen 3 1967 (... |

246 | A Simplified Model for Portfolio Analysis - Sharpe - 1963 |

135 |
Risk, the pricing of capital assets and evaluation of investment portfolios
- Jensen
- 1969
(Show Context)
Citation Context ...their brokerage expenses. Keywords: Jensen's Alpha, mutual fund performance, risk-adjusted returns, forecasting ability, predictive ability. Journal of Finance, Vol. 23, No. 2 (1967) 389-416. © M. C. =-=Jensen 1967-=- This document is available on the Social Science Research Network (SSRN) Electronic Library at: http://papers.ssrn.com/ABSTRACT=244153sThe Performance Of Mutual Funds In The Period 1945-1964* Michael... |

80 |
Market and industry factors in stock price behaviour
- King
- 1966
(Show Context)
Citation Context ...are independently distributed random variables with E( e ˜ jt) = 0, and empirical evidence indicates that the 2 roughly of the same order of magnitude as s ( ˜ ( ) are 2 s e ˜ j p ) (cf. (Fama, 1968; =-=King, 1966-=-)). Hence the variance of the last term on the right hand side of (3), given by Ê Ë ˆ ¯ ( ) 2 s Á Â X j e ˜ j˜ = j j 2 2 Â X s e ˜ j j will be extremely small since on average X j will be equal to 1/ ... |

28 |
An empirical evaluation of alternative portfolio-selection models
- Cohen, Pogue
- 1967
(Show Context)
Citation Context ...cussed in detail in Jensen (1967). For purposes of brevity we confine ourselves here to an examination of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (=-=Cohen and Pogue, 1967-=-; Dietz, 1966; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested bel... |

27 | A linear programming algorithm for mutual fund portfolio selection - Sharpe - 1967 |

20 |
equilibrium: some clarifying comments
- Fama
- 1972
(Show Context)
Citation Context ...e that the first term on the right hand side of (3) is just E( ˜ Mt R where X j is the ratio of the total value R ), and since the market factor p is unique only up to a transformation of scale (cf. (=-=Fama, 1968-=-)) we can scale p such that Â jb = 1 and j X j the second term becomes just p . Furthermore by assumption, the e ˜ jt in the third term are independently distributed random variables with E( e ˜ jt) =... |

16 |
The Investment Decision under Uncertainty
- Farrar
- 1962
(Show Context)
Citation Context ...or purposes of brevity we confine ourselves here to an examination of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; =-=Farrar, 1962-=-; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quit... |

11 |
How to rate management of investment funds”. Harvard business review 43
- Treynor
- 1965
(Show Context)
Citation Context ...casting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; Sharpe, 1966; =-=Treynor, 1965-=-). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor (1965).sJensen 3 1967 (witness the wid... |

9 | The efficient market model applied to U.S. Treasury bill rates, University of Chicago doctoral dissertation - Roll - 1968 |

6 |
Pension Funds: Measuring Investment Performance (The Spaulding Series) (Macmillian, 2004). Author Contributions Y.-Y.L
- Dietz
(Show Context)
Citation Context ...sen (1967). For purposes of brevity we confine ourselves here to an examination of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; =-=Dietz, 1966-=-; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many... |

4 | The Assessment of Portfolio Performance - Blume - 1968 |

4 |
A Study of Mutual Funds
- FRIEND, BROWN, et al.
- 1962
(Show Context)
Citation Context ... brevity we confine ourselves here to an examination of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; =-=Friend et al., 1962-=-; Friend and Vickers, 1965; Horowitz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to ... |

3 |
Mutual Fund Performance". Journal of Business 39 (S1): 119–138 Shlomo Benartzi
- Sharpe
- 1966
(Show Context)
Citation Context ...manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; Horowitz, 1965; =-=Sharpe, 1966-=-; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor (1965). Jensen 19673 (w... |

2 |
Portfolio selection and investment performance
- Friend, Vickers
- 1965
(Show Context)
Citation Context ...urselves here to an examination of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; Friend et al., 1962; =-=Friend and Vickers, 1965-=-; Horowitz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by T... |

2 |
Security Prices, Risk, and Maximal Gains from Diversification
- 1965a
(Show Context)
Citation Context ...itz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor =-=(1965)-=-.sJensen 3 1967 (witness the widespread interest in the theory of random walks and its implications regarding forecasting success). In addition to the lack of an absolute measure of performance, these... |

2 |
The Valuation of Risk Assets and the Selection of Risky Investments
- 1965b
(Show Context)
Citation Context ...itz, 1965; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor =-=(1965)-=-.sJensen 3 1967 (witness the widespread interest in the theory of random walks and its implications regarding forecasting success). In addition to the lack of an absolute measure of performance, these... |

2 | and 1965. Investment Companies - Wiesenberger - 1955 |

1 | Risk, Return, and General Equilibrium in a Stable Paretian Market - Fama - 1967 |

1 |
A Model for Mutual Fund Evaluation
- Horowitz
- 1965
(Show Context)
Citation Context ...ation of a fund manager’s forecasting ability which is of interest in and of itself 2 See for example (Cohen and Pogue, 1967; Dietz, 1966; Farrar, 1962; Friend et al., 1962; Friend and Vickers, 1965; =-=Horowitz, 1965-=-; Sharpe, 1966; Treynor, 1965). 3 It is also interesting to note that the measure of performance suggested below is in many respects quite closely related to the measure suggested by Treynor (1965).sJ... |

1 | Trade and Securities Statistics: Security Price Index Record - Standard, Poor - 1964 |

1 |
General Equilibrium in a Stable Paretian Market
- Fama
- 1968
(Show Context)
Citation Context ... ( ) + j Â jX jb t˜ p + j Â jX jt˜ e j Â Note that the first term on the right hand side of (3) is just E( Mt˜ R ) , and since the market factor psis unique only up to a transformation of scale (cf. (=-=Fama, 1968-=-)) we can scale pssuch that jX jb = 1 j Âsand the second term becomes just p . Furthermore by assumption, the jt˜ esin the third term are independently distributed random variables with E( jt˜ e ) = 0... |