Hostname: page-component-78c5997874-xbtfd Total loading time: 0 Render date: 2024-11-15T05:45:20.015Z Has data issue: false hasContentIssue false
  • English
  • Français

Objectives and Performance of Mutual Funds, 1960–1969

Published online by Cambridge University Press:  19 October 2009

John G. McDonald
Get access Rights & Permissions [Opens in a new window]

Extract

The purpose of this study is to measure and evaluate the objectives, risk, and return of 123 American mutual funds using monthly returns in the period 1960–1969. The paper considers five questions: How were stated fund objectives related to risk and return, as measured over the subsequent decade? How did funds of various objectives perform in terms of return and return-to-risk measures? Did average excess return increase with risk? Was the return-to-risk performance of the average mutual fund better or worse than that of the stock market as a whole? How did the slope of the mutual fund line of returns versus beta compare to the capital market line; i.e., did funds at one end of the risk spectrum appear to “outperform” those at the other end?

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 9 , Issue 3 , June 1974 , pp. 311 - 333
Copyright
Copyright © School of Business Administration, University of Washington 1974

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, Fischer; Jensen, Michael C.; and Scholes, Myron. “The Capital Asset Pricing Model: Smme Empirical Tests.” In Studies in The Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger Publishers, 1972.Google Scholar
[2]Campanella, Frank B.The Measurement of Portfolio Risk Exposure. Lexington, Mass.: Lexington Books, 1972.Google Scholar
[3]Fisher, Lawrence, and Lorie, James H.. “Rates of Returns on Investments in Common Stocks” Journal of Business, vol. 41 (July 1968), pp. 291–316.CrossRefGoogle Scholar
[4]Friend, Irwin, and Blume, Marshall. “Measurement of Portfolio Performance under Uncertainty.” American Economic Review, vol. 60 (September 1970), pp. 561–575.Google Scholar
[5]Jensen, Michael C. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance, vol. 23 (May 1968), pp. 389–419.Google Scholar
[6]Jensen, Michael C. “Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios” Journal of Business, vol. 42 (April 1969), pp. 167–247.CrossRefGoogle Scholar
[7]Lintner, John. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, vol. 47 (February 1965), pp. 13–37.CrossRefGoogle Scholar
[8]Lintner, John. “The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets.” Journal of Financial and Quantitative Analysis, vol. 4 (December 1969), pp. 347–400.CrossRefGoogle Scholar
[9]Mayers, David. “Non-Marketable Assets and Capital Market Equilibrium.” In Studies in the Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger, 1972.Google Scholar
[10]Miller, Merton H., and Scholes, Myron S.. “Rates of Return in Relation to Risk: A Re-Examination of Some Recent Findings.” In Studies in the Theory of Capital Markets, edited by Jensen, M. C.. New York: Praeger Publishers, 1972.Google Scholar
[11]Mossin, Jan. “Equilibrium in a Capital Asset Market.” Econometrica, vol. 34 (October 1966), pp. 768–783.CrossRefGoogle Scholar
[12]Reints, William W., and Vandenberg, Pieter A.. “A Comment on the Risk Level Discrimination Powers of the Wiesenberger Classifications.” Journal of Business, vol. 46 (April 1973), pp. 278–283.CrossRefGoogle Scholar
[13]Roll, Richard. “Bias in Fitting the Sharpe Model to Time Series Data.” Journal of Financial and Quantitative Analysis, vol. 4 (September 1969), pp. 271–289.CrossRefGoogle Scholar
[14]Securities and Exchange Commission. Institutional Investor Study Report of the Securities and Exchange Commission, volume 2.92d Congress, 1st Session, House Document No. 92–64.Washington, D.C.: U.S. Government Printing Office, 1971, pp. 325–347.Google Scholar
[15]Sharpe, William F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk” Journal of Finance, vol. 19 (September 1964), pp. 425–442.Google Scholar
[16]Sharpe, William F. “Mutual Fund Performance” Journal of Business, vol. 39 (January 1966), pp. 119–138.CrossRefGoogle Scholar
[17]Sharpe, William F. “Bonds Versus Stocks: Some Lessons from Capital Market Theory.” Financial Analysts Journal, vol. 29 (November–December 1973), pp. 74–80.CrossRefGoogle Scholar
[18]Treynor, Jack L. “How to Rate Management of Investment Funds.” Harvard Business Review, vol. 43 (January–February 1965), pp. 63–75.Google Scholar
[19]Wiesenberger (Arthur) Service. Investment Companies, 1961 through 1969.Google Scholar
[20]Wiesenberger (Arthur) Service. Mutual fund Performance Monthly, October 1972.Google Scholar