The Performance of Mutual Funds in the Period 1945-1964
"In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated). I apply the measure to estimate the predictive ability of 115 mutual fund managers in the period 1945-1964...."
Mutual Fund Performance by Dirk Nitzsche, Keith Cuthbertson & Niall O'Sullivan - January, 2006
Morningstar Ratings and Mutual Fund Performance by Christopher R. Blake & Matthew R. Morey - December, 1999
The Persistence of Risk-Adjusted Mutual Fund Performance by Edwin J. Elton, Martin J. Gruber & Christopher R. Blake - April, 1996
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