Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-15T05:42:27.505Z Has data issue: false hasContentIssue false
  • English
  • Français

An Assessment of the Performance of Mutual Fund Management: 1969–1975

Published online by Cambridge University Press:  06 April 2009

Tye Kim
Get access Rights & Permissions [Opens in a new window]

Extract

Numerous studies have already examined the investment performance of mutual fund management with data from the 1950s and 1960s. Although the previous studies differed in the time period and evaluation method, they generally agreed that mutual funds, on the average, had failed to outperform the market over time. Thus they rendered a strong support to the efficient market hypothesis. Yet there is a need for an investigation of the data of the past several years. This study evaluates the quarterly investment performance of mutual funds in the period 1969–1975, using the weighted index benchmark portfolio approach.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 3 , September 1978 , pp. 385 - 406
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Black, F.; Jensen, M. C.; and Scholes, Myron. ‘The Capital Asset Pricing Model: Some Empirical Tests.’ In Studies in the Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger Publishers (1972).Google Scholar
[2]Blume, M., and Friend, I.. ‘A New Look at the Capital Asset Pricing Model.’ Journal of Finance, Vol. 28 (03 1973), pp. 19–33.CrossRefGoogle Scholar
[3]Board of Governors of the Federal Reserve System. Federal Reserve Bulletin, selected issues.Google Scholar
[4]Dow Jones and Company. Barron's, selected issues.Google Scholar
[5]Dow Jones and Company. Wall Street Journal, selected issues.Google Scholar
[6]Fama, E. F., and MacBeth, J. D.. ‘Risk, Return, and Equilibrium: Empirical Tests.’ Journal of Political Economy, Vol. 81 (05/06 1973), pp. 607–636.CrossRefGoogle Scholar
[7]Fisher, J., and Lorie, J. H.. ‘Some Studies of Variability of Returns on Investments in Common Stocks.’ Journal of Business, Vol. 43 (04 1970), pp. 99–134.CrossRefGoogle Scholar
[8]Friend, I., and Blume, M.. ‘Measurement of Portfolio Performance under Uncertainty.’ American Economic Review, Vol. 60 (09 1970), pp. 561–575.Google Scholar
[9]Friend, I.; Blume, M.; and Crockett, J.. Mutual Funds and Other Institutional Investors, A Twentieth Century Fund Study. New York: McGraw-Hill Book Company (1970).Google Scholar
[10]Friend, I., and Vickers, D.. ‘Portfolio Selection and Investment Performance.’ Journal of Finance, Vol. 20 (09 1965), pp. 391–413.CrossRefGoogle Scholar
[11]Fund Scope, Inc. FundScope, selected issues.Google Scholar
[12]Jensen, M. C. ‘Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios.’ Journal of Business, Vol. 42 (04 1969), pp. 167–247.CrossRefGoogle Scholar
[13]McDonald, J. G. “Objectives and Performance of Mutual Funds, 1960–1969.” Journal of Financial and Quantitative Analysis (07 1974), pp. 311–333.CrossRefGoogle Scholar
[14]]New York Stock Exchange. ‘Dividends and Market Values for Common Stocks,’ selected releases.Google Scholar
[15]Salomon, Brothers. ‘High Grade Corporate Bond Total Rate-of-Return Index,’ selected monthly releases.Google Scholar
[16]Salmon, Brothers. ‘Introducing the Salomon Brothers' Total Performance Index for the High Grade Long-Term Corporate Bond Market.’ A memorandum to portfolio managers from Leibowitz, M. L. and Johnannesen, R. W. Jr, dated 11 1972.Google Scholar
[17]Securities and Exchange Commission. Institutional Investor Study Report of the Securities and Exchange Commission, Vol. 2, 92nd Congress, 1st Session, House Document No. 92–64. Washington, D.C.: U.S. Government Printing Office (1971).Google Scholar
[18]Securities and Exchange Commission. Statistical Bulletin, Vol. 35 (04 1976), p. 205.Google Scholar
[19]Sharpe, W. F. ‘Mutual Fund Performance.’ Journal of Business, Vol. 39 (01 1966), Part II, pp. 119–138.CrossRefGoogle Scholar
[20]Sharpe, W. F.Portfolio Theory and Capital Markets. New York: McGraw-Hill Book Company (1970).Google Scholar
[21]Treynor, J. L. ‘How to Rate Management of Investment Funds.’ Harvard Business Review, Vol. 43 (01/02 1965), pp. 63–75.Google Scholar
[22]Wharton School of Finance and Commerce, University of Pennsylvania. Study of Mutual Funds. Washington, D.C.: U.S. Government Printing Office (1962).Google Scholar
[23]Wiesenberger Services. Investment Companies, all issues for 1968–1975.Google Scholar
[24]Wiesenberger Services. Management Results, all issues for the period, 12 1968 through 1975.Google Scholar