The Evidence-Based Investor

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...."

Journal of Finance 23(2), 389-416
ssrn.com/abstract=244153
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