Bibliography

Performance Measurement

As a project to be incorporated into the JFQA Special Issue on Performance Measurement, we are preparing a comprehensive bibliography on this topic. A very preliminary version of this bibliography is enclosed. If we have missed any important papers, please send us mail enclosing information about the author, date, title, journal, volume and issue and page numbers. Any other comments are of course welcome.

Admati, Anat R., and Stephen A. Ross, 1985 Measuring investment performance in a rational expectations equilibrium model. Journal of Business 58(11), 11-26.

Admati Anat, Sudipto Bhattacharya, Paul Pfliederer, and Stephen Ross, 1986 On timing and selectivity. Journal of Finance 41(3), 715-730.

Admati, Anat R. and Paul Pfleiderer, 1997 Does It All Add Up? Benchmarks And The Compensation Of Active Portfolio Managers. Journal of Business 70(3,Jul), 323-350.

Alexander, Gordon J., and Roger D. Stover, 1980 Consistency of mutual fund performance during varying market conditions. Journal of Economics and Business (), 219-226.

Alexander, Gordon J., P. George Benson, and Carol E. Eger, 1982 Timing decisions and the behavior of mutual fund systematic risk. Journal of Financial and Quantitative Analysis 17(4), 579-622.

Ang, James S., 1978 A note on the leverage effects on portfolio performance measures. Journal of Financial and Quantitative Analysis 13(3), 567-572.

Ang, James S., and Jess H. Chua, 1979 Composite measures for the evaluation of investment performance. Journal of Financial and Quantitative Analysis 14(2), 361-384.

Appleyard, A. R., N. Strong, and M. Walker, 1982 Mutual fund performance in the context of models of equilibrium capital asset pricing. Journal of Business Finance and Accounting 9(3), 289-296.

Arditti, F, 1971 Another look at mutual fund performance. Journal of Financial and Quantitative Analysis 6(3), 909-912.

Armstrong, D, 1976 Were mutual funds worth the candle?. Journal of Portfolio Management 2(4), 46-51.

Ashton, D. J, 1990 A problem in the detection of superior investment performance. Journal of Business Finance and Accounting 17(3), 337-350.

Barnea, A., and D. E. Logue, 1976 Stock trading and portfolio performance. Journal of Business Research 7(), 150-157.

Bauman, W. S, 1968 Evaluation of prospective investment performance. Journal of Finance 23(2), 276-295.

Beckers, Stan, 1997 Manager Skills And Investment Performance: How Strong Is The Link?. Journal of Portfolio Management 23(4,Summer), 9-23.

Beebower, G. L., and G. L. Bergstonn, 1977 A performance analysis of pension and profit-sharing portfolios: 1966-1975. Financial Analysts Journal 33(3), 31-42.

Beebower, G. L., and A. -P. Varikooty, 1991 Measuring market timing strategies. Financial Analysts Journal 47(6), 78-92.

Bekaert, Geert and Michael S. Urias, 1996 Diversification, Integration And Emerging Market Closed-End Funds. Journal of Finance 51(3,Jul), 835-869.

Belkaoui, A, 1982 Judgement related issues in performance evaluation. Journal of Business Finance and Accounting 9(4), 489-500.

Bhattacharya, S., and P. PfIeiderer, 1985 1-25. Journal of Economic Theory 36(), .

Blake, Christopher R., Edwin J. Elton and Martin J. Gruber, 1993 The Performance Of Bond Mutual Funds. Journal of Business 66(3), 371-403.

Bogle, J, 1992 Selecting equity mutual funds. Journal of Portfolio Management 18(), 94-100.

Bogle, J. C, 1970 Mutual fund performance evaluation. Financial Analysts Journal 26(6), 25-34.

Breen, W., R. Jagannathan, and A. R. Ofer, 1986 Correcting for heteroscedasticity in tests for market timing ability. Journal of Business 59(4(1)), 585-598.

Brinson, G. P., and N. Fachler, 1985 Measuring non-U.S. equity portfolio performance. Journal of Portfolio Management 1 1(3), 73-76.

Brinson, G. P., J. J. Diermeier, and G. G. Schlarbaum, 1986 A composite portfolio benchmark for pension plans. Financial Analysts Journal 42(2), 15-24.

Brinson, G. P., L. R. Hood, and G. L. Beebower, 1986 Determinants of portfolio performance. Financial Analysts Journal 42(4), 38-44.

Brown, Keith C., W. V. Harlow and Laura T. Starks, 1996 Of Tournaments And Temptations: An Analysis Of Managerial Incentives In The Mutual Fund Industry. Journal of Finance 51(1,Mar), 85-110.

Brown, Stephen J., William N. Goetzmann Roger Ibbotson and Stephen A. Ross, 1992 Survivorship bias in performance studies. Review of Financial Studies 5(4), 553-580.

Brown, Stephen J., William N. Goetzmann and Stephen A. Ross, 1995 Survival. Journal of Finance 50(3), 853-873.

Brown, Stephen J. and William N. Goetzmann, 1995 Performance Persistence. Journal of Finance 50(2), 679-698.

Brown, Stephen J. and William N. Goetzmann, 1997 Mutual Fund Styles. Journal of Financial Economics 43(3,Mar), 373-399.

Brown, Stephen J., William N. Goetzmann Roger Ibbotson and Stephen A. Ross, 1997 Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias. Review of Economics and Statistics 79(), 167-170.

Burns, W. L., and D. R. Epley, 1982 The performance of portfolios of REITS + stocks. Journal of Portfolio Management 8(3), 37-42.

Cadsby, C. B, 1986 Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance 41(5), 1175-1176.

Calvett, A. L., and J. Lefoll, 1981 Performance and systematic risk stability of Canadian mutual funds under inflation. Journal of Business Finance and Accounting 8(2), 279-290.

Carhart, M, 1997 Persistence in mutual fund performance. Journal of Finance 52(), 57-82.

Carlson, R, 1970 Aggregate performance of mutual funds, 1948-1967. Journal of Financial and Quantitative Analysis 5(1), 1-32.

Chang, E., and W. Lewellen, 1984 Market timing and mutual fund investment performance. Journal of Business 57(1), 57-72.

Chang, E., and W. Lewellen, Journal of Financial Research An arbitrage pricing approach to evaluating mutual fund performance. 1985 8(1), 15-30.

Chen, Nai-fu., Thomas E. Copeland, and David Mayers, 1987 A comparison of single and multifactor portfolio performance methodologies. Journal of Financial and Quantitative Analysis 22(4), 401-417.

Chen, S. N. and C. F. Lee, 1981 The sampling relationship between Sharpe's performance measure and its risk proxy: Sample size, investment horizon and market conditions. Management Science 27(6), 607-618.

Chen, S. N. and C.F. Lee, 1986 The effects of the sample siae, the investment horizon and market conditions on the validity of composite performance measures: A generalization. Management Science 32(11), 1410-1421.

Chen, Z. and P. Knez, 1996 Portfolio performance measurement: Theory and evidence. Review of Financial Studies 9(), 551-556.

Chevalier, Judith and Glenn Ellison, 1997 Risk Taking by Mutual Funds as a Response to Incentives Journal of Political Economy 114() 389-432.

Chevalier, Judith and Glenn Ellison, 1999 Career Concerns of Mutual Fund Managers. Quarterly Journal of Economics 105(6), 1167-1200.

Chevalier, Judith and Glenn Ellison, 1999 Are Some Mutual Fund Managers Better than Others? Cross-Sectional Patterns in Behavior and Performance Journal of Finance 54() 875-899.

Chopra, Navin, Charles M. C. Lee, Andrei Shleifer and Richard H. Thaler, 1993 Yes, Discounts On Closed-End Funds Are A Sentiment Index. Journal of Finance 48(2), 801-808.

Chordia, Tarun, 1996 The Structure Of Mutual Fund Charges. Journal of Financial Economics 41(1,May), 3-39.

Christopherson, J. A., W. E. Ferson and D. A. Glassman, 1998 Conditioning manager alphers on economic information: Another look at persistence of performance. Review of Financial Studies 11(), 111-142.

Chua, J. H., and R. S. Woodward, 1983 J.M. Keynes's investment performance: A note. Journal of Finance 38(1), 232-236.

Chua, J. H., R. S. Woodward. and E. C. To, 1987 Potential gains from stock market timing in Canada. Financial Analysts Journal 43(5), 50-56.

Cohen, K., and J. Pogue, 1968 Some comments concerning mutual fund versus random portfolio performance. Journal of Business 41(2), 180-190.

Connor, G., and R. A. Korajczyk, 1986 Performance measurement with the arbitrage pricing theory: A new framework for analysis. Journal of Financial Economics 15(3), 373-394.

Connor, G., and R. A. Korajczyk, 1991 The attributes, behavior and performance of US mutual funds. Review of Quantitative Finance and Accounting 1(), 5-26.

Copeland, T. E., and D. Mayers, 1982 The Value Line enigma (1965-1978): A case study of performance measurement issues. Journal of Financial Economics 10(3), 289-322.

Cornell, B, 1979 Asymmetric information and portfolio performance measurement. Journal of Financial Economics 7(4), 381-390.

Cowles, A, 1933 Can stock market forecasters forecast?. Econometrica 1(), 309-325.

Crenshaw, T. E, 1977 Evaluation of investment performance. Journal of Business 50(4), 462-485.

Cumby, R. E., and D. M. Modest, 1987 Testing for market timing ability. Journal of Financial Economics 19(), 169-189.

Cumby, R. E., and J. D. Glen, 1990 Evaluating the performance of international mutual funds. Journal of Finance 45(2), 497-521.

Daniel, Kent, Mark Grinblatt, Sheridan Titman and Russ Wermers, 1997 Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance 1035-1058(52), .

Davanzo, L. E., and S. L. Nesbitt, 1987 Performance fees for investment management. Financial Analysts Journal 43(1), 14-20.

Dietz, Peter, 1968 Components of a measurement model: Rate of return, risk and timing. Journal of Finance 23(2), 267-275.

Dietz, Peter, 1968 Pension fund performance. Financial Analysts Journal 24(5), 131-138.

Dunn, P. C., and R. D. Theisen, 1983 How consistently do active managers win?. Journal of Portfolio Management 9(4), 47-53.

Dybvig, P. H., and S. A. Ross, 1985 Differential information and performance measurement using a security market line. Journal of Finance 40(2), 383-400.

Dybvig, P. H., and S. A. Ross, 1985 The analytics of performance measurement using a security market line. Journal of Finance 40(2), 401-416.

Elton, E. J., M. J. Gruber, and S. Grossman, 1986 Discrete expectational data and portfolio performance. Journal of Finance 41(3), 699-712.

Elton, Edwin J., Martin J. Gruber, Sanjiv Das and Matthew Hlavka, 1993 Efficiency With Costly Information: A Reinterpretation Of Evidence From Managed Portfolios. Review of Financial Studies 6(1), 1-22.

Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1996 The Persistence Of Risk-Adjusted Mutual Fund Performance. Journal of Business 69(2,Apr), 133-157.

Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1996 Survivorship Bias And Mutual Fund Performance. Review of Financial Studies 9(4,Winter), 1097-1120.

Evans, J, 1970 An Analysis of portfolio maintenance strategies. Journal of Finance 25(3), 561-571.

Fabozzi, F., and J. Francis, 1979 Mutual fund systematic risk for bull and bear markets: An empirical examination. Journal of Finance 34(5), 1243-1250.

Fabozzi, F., J. Francis, and C. Lee, 1980 Generalized functional form for mutual fund returns. Journal of Financial and Quantitative Analysis 15(5), 1107-1120.

Falkenstein, Eric G, 1996 Preferences For Stock Characteristics As Revealed By Mutual Fund Portfolio Holdings. Journal of Finance 51(1,Mar), 111-135.

Fama, E. F, 1972 Components of investment performance. Journal of Finance 27(3), 551-567.

Ferguson, R, 1980 Performance measurement doesn't make sense. Financial Analysts Journal 36(3), 59-70.

Ferguson, R, 1986 The trouble with performance measurement. Journal of Portfolio Management 12(3), 4-9.

Ferri, M. G., and H. D. Oberhelman, 1981 How well do money market funds perform?. Journal of Portfolio Management 7(3), 18-26.

Ferson, Wayne E. and Rudi W. Schadt, 1996 Measuring Fund Strategy And Performance In Changing Economic Conditions. Journal of Finance 51(2,Jun), 425-461.

Fielitz, B. D., and M. T. Greene, 1980 Shortcomings in portfolio evaluation via MPT. Journal of Portfolio Management 6(4), 13-19.

Fisher, Kenneth L. and Meir Statman, 1997 Investment Advice From Mutual Fund Companies. Journal of Portfolio Management 24(1,Fall), 9-25.

Fisher, L., and R. Weil, 1971 Coping with the risk of interest-tate fluctuations: Returns to bondholders from naive and optimal strategies. Journal of Business 44(4), 408-431.

Francis, J., and F. Fabozzi, 1980 Stability of mutual fund systematic risk statistics. Journal of BusinessResearch (), 263-275.

French D. W., and G. V. Henderson, 1985 How well does performance evaluation perform?. Journal of Portfolio Management 1 1(2), 15-18.

Friend, I., and D. Vickers, 1965 Portfolio selection and investment performance. Journal of Finance 39(1), 391-415.

Fung, William and David A. Hsieh, 1997 Empirical characteristics of dynamic trading strategies: The case of hedge funds. Review of Financial Studies 10(), 275-302.

Fung, William and David A. Hsieh, 1997 Survivorship bias and investment style in the returns of CTAs: The information content of performance track records. Journal of Portfolio Management 24(), 30-41.

Gallo, John G. and Larry J. Lockwood, 1997 Benefits Of Proper Style Classification Of Equity Portfolio Managers. Journal of Portfolio Management 23(3,Spring), 47-56.

Garcia, C. B. and F. J. Gould, 1993 Survivorship Bias. Journal of Portfolio Management 19(3), 52-56.

Garcia, C. B., F. J. Gould and Christopher K. Ma, 1995 Survivorship Bias: Reply. Journal of Portfolio Management 21(2), 105-107.

Gaumintz, J, 1970 Appraising performance of investment portfolios. Journal of Finance 25(3), 555-560.

Good, W. R, 1983 Measuring performance. Financial Analysts Journal 39(3), 19-24.

Good, W. R, 1984 Accountability for pension fund performance. Financial Analysts Journal 40(1), 39-45.

Granatelli, A., and J. D. Martin, 1984 Management quality and investment performance. Financial Analysts Journal 40(6), 72-74.

Grant, D, 1977 Portfolio performance and the "cost" of timing decisions. Journal of Finance 32(3), 837-838.

Grant, D, 1978 Market timing and portfolio management. Journal of Finance 33(4), 1119-1131.

Green, R, 1986 Benchmark portfolio inefficiency and deviations from the security market line. Journal of Finance 41(3), 295-312.

Grinblatt, Mark and Sheridan Titman, 1987 How to Evaluate a Portfolio Manager. Financial Markets and Portfolio Management 1(2), 9-20.

Grinblatt, Mark and Sheridan Titman, 1987 How Clients Can Win the Gaming Game. Journal of Portfolio Management (Summer), 14-23.

Grinblatt, Mark and Sheridan Titman, 1989 How to Avoid Games Portfolio Managers Play. Institutional Investor 23(14 (Nov)), 35-36.

Grinblatt, Mark and Sheridan Titman, 1989 Adverse Risk Incentives and the Design of Performance-Based Contracts. Management Science 35(), 807-822.

Grinblatt, Mark and Sheridan Titman, 1989 Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business 62(3), 393-416.

Grinblatt, Mark and Sheridan Titman, 1989 Portfolio performance evaluation: Old issues and new insights. Review of Financial Studies 2(), 393-421.

Grinblatt, Mark and Sheridan Titman, 1992 The persistence of mutual fund performance. Journal of Finance 47(), 1977-1984.

Grinblatt, Mark and Sheridan Titman, 1992 Performance Evaluation. The New Palgrave Dictionary of Money and Finance Newman, P., Milgate, M., and Eatwell, J. (Eds.)(Stockton Press, Volume 3 (N-Z)), 133-135.

Grinblatt, Mark and Sheridan Titman, 1993 Performance Measurement Without Benchmarks: An Examination Of Mutual Fund Returns. Journal of Business 66(1), 47-68.

Grinblatt, Mark and Sheridan Titman, 1994 A Study Of Monthly Mutual Fund Returns And Performance Evaluation Techniques. Journal of Financial and Quantitative Analysis 29(3), 419-444.

Grinblatt, Mark, Sheridan Titman and Russ Wermers, 1995 Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 85(), 1088-1105.

Grinblatt, Mark and Sheridan Titman, 1995 Performance Evaluation. Handbook in Operations Research and Management Science, Vol. 9: Finance Jarrow, R., Maksimovic, V., and Ziemba, W. (Eds.)(Elsevier Science), 581-609.

Grinold, R., and A. Rudd, 1987 Incentive fees: Who wins? who loses?. Financial Analysts Journal 43(1), 27-38.

Gruber, Martin J, 1996 Presidential Address: Another Puzzle: The Growth In Actively Managed Mutual Funds. Journal of Finance 51(3,Jul), 783-810.

Gumperz, J., and E. Page, 1970 Misconceptions of pension fund performance. Financial Analysts Journal 26(3), 30-34.

Guy, J.R, 1978 The performance of the British investment trust industry. Journal of Finance 33(2), 443-455.

Hagigi, M., and B. Kluger, 1987 Safety first: An alternative performance measure. Journal of Portfolio Management 13(4), 34-40.

Hendricks, Darryll, Jayendu Patel and Richard Zeckhauser, 1993 Hot Hands In Mutual Funds: Short-Run Persistence Of Relative Performance, 1974-1988. Journal of Finance 48(1), 93-130.

Henriksson, R. D., and R. C. Merton, 1981 On market timing and investment performance. II. Statistical procedures for evaluationg forecasting skills. Journal of Business 54(4), 513-533.

Henriksson, R. D, 1984 Market timing and mutual fund performance: An empirical investigation. Journal of Business 57(1), 73-96.

Horowitz, I, 1966 The "Reward to Variability" ratio and investment performance. Journal of Business 39(4), 485-488.

Ippolito, R. A., Quarterly Journal of Economics Efficiency with costly information: A study of mutual fund performance. 1989 104(), 1-23.

Ippolito, R. A., and J. A. Turner, 1987 Turnover, fees and pension fund performance. Financial Analysts Journal 43(6), 16-26.

Jagannathan, R., and R. A. Korajczyk, 1986 Assessing the market timing performance of managed portfolios. Journal of Business 59(2(1)), 217-235.

Jeffrey, Robert H. and Robert D. Arnott, 1993 Is Your Alpha Big Enough To Cover Its Taxes?. Journal of Portfolio Management 19(3), 15-26.

Jeffrey, Robert H. and Robert D. Arnott, 1994 Is Your Alpha Big Enough To Cover Its Taxes?: Reply. Journal of Portfolio Management 20(4), 96-97.

Jensen, Michael, 1968 The performance of mutual funds in the period 1945-1964. Journal of Finance 23(2), 389-416.

Jensen, Michael, 1969 Risk, the pricing of capital assets, and the evaluation of investment performance. Journal of Business 42(2), 167-247.

Jensen, Michael, 1972 Optimal utilization of market forecasts and the evaluation of investment performance. Mathematical Methods in Investment and Finance G.P. Szego and K. Shell (eds.)(Elsevier, Amsterdam), .

Jobson, J. D., and B. M. Korkie, 1981 Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance 36(4), 889-908.

Jobson, J. D., and B. Korkie, 1982 Potential performance and tests of portfolio efficiency. Journal of Financial Economics 10(4), 433-466.

Jobson, J. D., and B. Korkie, 1984 On the Jensen measure and marginal improvements in portfolio performance. Journal of Finance 39(1), 245-252.

Joy, M., and B. Porter, 1974 Stochastic dominance and mutual fund performance. Journal of Financial and Quantitative Analysis 9(1), 25-3 1.

Kane, A and S. G. Marks, 1988 Performance evaluation of market timers: Theory and evidence. Journal of Financial and Quantitative Analysis 23(4), 425-435.

Kim, T, 1978 An assessment of the performance of mutual fund management: 1969-1975. Journal of Financial and Quantitative Analysis 13(3), 385-406.

Klemkosky, R, 1973 The bias in composite performance measures. Journal of Financial and Quantitative Analysis 8(3), 505-514.

Kon, Stanley J., and Frank C. Jen, 1978 Estimation of time-varying systematic risk and performance for mutual fund portfolios: An application of switching regression. Journal of Finance 33(2), 457-475.

Kon, Stanley J., and Frank C. Jen, 1979 The investment performance of mutual funds: An empirical investigation of timing, selectivity, and market efficiency. Journal of Business 52(2), 263-289.

Kon, S. J, 1983 The market-timing performance of mutual fund managers. Journal of Business 56(3), 323-347.

Kritzman, M, 1983 Can bond managers perform consistently?. Journal of Portfolio Management 9(4), 54-56.

Kritzman, M, 1986 How to detect skill in management performance. Journal of Portfolio Management 12(2), 16-20.

Kritzman, M, 1987 Incentive fees: Some problems and some solutions. Financial Analysts Journal 43(1), 21-26.

Larsen, Glen A., Jr. and Gregory D. Wozniak, 1995 Market Timing Can Work In The Real World. Journal of Portfolio Management 21(3), 74-81.

Lebaron, Dean, 1994 Universal Model Of Equity Styles. Journal of Portfolio Management 21(1), 85-88.

Lee, C., and F. Jen, 1978 Effects of measurement error on systematic risk and performance measurement. Journal of Financial and Quantitative Analysis 13(2), 299-312.

Lee, C., and S. Rahman, 1990 Market timing, selectivity, and mutual fund performance: An empirical investigation. Journal of Business 63(2), 261-278.

Lehmann, B., and D. Modest, 1987 Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons. Journal of Finance 42(2), 233-265.

Levy, H, 1972 Portfolio performance and the investment horizon. Management Science 18(12), B645-B652.

Levy, H, 1984 Measuring risk and performance over alternative investment horizons. Financial Analysts Journal 40(2), 61-68.

Levy, H., and M. Sarnat, 1972 Investment performance in an imperfect securites marke and the case for mutual funds. Financial Analysts Journal 28(2), 77.

Levy, R. A, 1968 Measurement of investment performance. Journal of Financial and Quantitative Analysis 3(1), 35-58.

Lewellen, W. G., R. C. Lease and G. G. Schlarbaum, 1979 Investment performance and investor behavior. Journal of Financial and Quantitative Analysis 14(1), 29-5 8.

Litzenberger, R., and H. B. Sosin, 1978 The performance and potential of dual purpose funds. Journal of Portfolio Management 4(3), 56-68.

Mains, N, 1977 Risk, the pricing of capital assets, and the evaluation of investment portfolios: Comment. Journal of Business 50(3), 371-384.

Malkiel, Burton G, 1995 Returns From Investing In Equity Mutual Funds 1971 To 1991. Journal of Finance 50(2), 549-572.

Matulich, S, 1975 Portfolio performance with lending or borrowing. Journal of Business Finance and Accounting 2(3), 341-348.

Mayers, D., and E. M. Rice, 1979 Measureing portfolio performance and the empirical content of asset pricing models. Journal of Financial Economics 7(1), 3-28.

McDonald, J, 1973 French mutual fund performance: Evaluation of internationally-diversified portfolios. Journal of Finance 28(5), 1161-1180.

McDonald, J, 1974 Objectives and performance of mutual funds, 1960-1969. Journal of Financial and Quantitative Analysis 9(3), 311-333.

Merton, R. C, 1981 On market timing and investment performance. I. An equilibrium theory of value for market forecasts. Journal of Business 54(3), 363-406.

Miller, R. E., and A. K. Gehr, 1978 Sample size bias and Sharpe's performance measure: A note. Journal of Financial and Quantitative Analysis 13(5), 943-946.

Miller, T. W., and N. Gressis, 1980 Nonstationarity and evaluation of mutual fund returns. Journal of Financial and Quantitative Analysis 15(3), 639-654.

Mills, H. D, 1970 On the measurement of fund performance. Journal of Finance 25(5), 1125-1132.

Monroe, R., and, J. Trieschmann, 1972 Portfolio performance of property-liability insurance companies. Journal of Financial and Quantitative Analysis 7(2), 1595-1611.

Morris, R. C., and, P. F. Pope, 1981 The Jensen measure of portfolio performance in an arbitrage pricing theory context. Journal of Business Finance and Accounting 8(2), 203-220.

Moses, E. A., J. M. Cheney, and E. T. Viet, 1987 A new and more complete performance measure. Journal of Portfolio Management 13(4), 24-33.

Nagorniak, J. J, 1982 Risk adjusted equity performance measurement. Journal of Finance 37(2), 555-561.

Okunev, J, 1990 An alternative measure of mutual fund performance. Journal of Business Finance and Accounting 17(2), 247-264.

Peasnell, K. V., L. C. Skerratt and P. A. Taylor, 1979 An arbitrage rationale for tests of mutual fund performance. Journal of Business Finance and Accounting 6(3), 373-400.

Peterson, D., and M. L. Rice, 1980 A note on ambiguity in portfolio performance measures. Journal of Finance 35(5), 1251-1256.

Pohlman, R., J. Ang, and R. Hollinger, 1978 Performance and timing: A test of hedge funds. Journal of Portfolio Management 4(3), 69-72.

Pontiff, Jeffrey, 1994 Closed-End Fund Premia And Returns: Implications For Financial Market Equilibrium. Journal of Financial Economics 37(3), 341-370.

Record, E. E. Jr., and M. A. Tynan, 1987 Incentive fees: The basic issues. Financial Analysts Journal 43(1), 39-43.

Robinson, R. S, 1970 Measuring the risk dimension of investment performance. Journal of Finance 25(2), 455-468.

Roll, R, 1978 Ambiguity when performance is measured by the securities market line. Journal of Finance 33(4), 1051-1069.

Roll, R, 1979 Measuring portfolio performance and the empirical content of asset pricing models: A reply. Journal of Financial Economics 7(4), 391-400.

Roll, R, 1980 Performance evaluation and benchmark errors(I). Journal of Portfolio Management 6(4), 5-12.

Roll, R, 1981 Performance evaluation and benchmark errors (II). Journal of Portfolio Management 7(2), 17-22.

Rothstein, M, 1972 On geometric and arithmetic portfolio performance indices. Journal of Financial and Quantitative Analysis 7(4), 1983-1992.

Sarnat, M, 1972 A note on the prediction of portfolio performance from ex post data. Journal of Finance 27(4), 903-906.

Saunders, A., C. Ward, and R. Woodward, 1980 Stochastic dominance and the performance of U.K. unit trusts. Journal of Financial and Quantitative Analysis 15(2), 323-330.

Schlarbaum, G, 1974 The investment performance of the common stock portfolios of property-liability insurance companies. Journal of Financial and Quantitative Analysis 9(1), 89-106.

Schneider, T. H, 1969 A worksheet technique for measuring performance. Financial Analysts Journal 25(3), 105-111.

Sharpe, William F, 1966 Mutual fund performance. Journal of Business 39(1), 119-138.

Sharpe, William F, 1968 Mutual fund performance and the theory of capital asset pricing: Reply. Journal of Business 41(2), 235-236.

Sharpe, William F, 1975 Adjusting for risk in performance measurement. Journal of Portfolio Management 1(2), 29-34.

Sharpe, William F, 1975 Likely gains from market timing. Financial Analysts Journal 31(), 60-69.

Sharpe, W. F, 1992 Asset allocation: management style and performance measurement. Journal of Portfolio Management 18(1), 7-19.

Shashua, L., and Y. Goldschmidt, 1974 An index for evaluating financial performance. Journal of Finance 29(3), 797-814.

Shawky, H. A, 1982 An update on mutual funds: Better grades. Journal of Portfolio Management 8(2), 29-34.

Shick, R., and J. Trieschmann, 1978 Some further evidence on the performance of property-liability insurance companies' stock portfolios. Journal of Financial and Quantitative Analysis 13(1), 157-166.

Simon, J, 1969 Does "good portfolio management" exist?. Management Science 15(6), B308-B324.

Simonson, D, 1972 The speculative behavior of mutual funds. Journal of Finance 27(2), 381-391.

Smidt, S, 1978 Investment horizons and performance measurement. Journal of Portfolio Management 4(2), 18-22.

Smith, K., and D. Tito, 1969 Risk-return measures of ex-post portfolio performance. Journal of Financial and Quantitative Analysis 4(4), 449-47 1.

Spigelman, J. H, 1974 What basis for superior performance?. Financial Analysts Journal 30(3), 32-45.

Swadener, P, 1973 Comment: Portfolio performance of property-liability insurance companies. Journal of Financial and Quantitative Analysis 7(2), 1619-1623.

Tehranian, H, 1980 Empirical studies in portfolio performance using higher degrees of stochastic dominance. Journal of Finance 35(1), 159-220.

Tierney, D. E., and K. Winston, 1991 Using generic benchmarks to present manager styles. Journal of Portfolio Management 17(), 33-36.

Treynor, Jack, 1965 How to rate management of investment funds. Harvard Business Review 43(), 63-75.

Treynor, Jack and K. Mazuy, 1966 Can mutual funds outguess the market. Harvard Business Review 44(), 131-36.

Treynor, J. L., and F. Black, 1973 How to use security analysis to improve portfolio selection. Journal of Business 46(1), 66-86.

Tsetsekos, G. P., and R. Defusco, 1990 Portfolio performance, managerial ownership, and the size effect. Journal of Portfolio Management 16(3), 33-39.

Vandell, R. F., and J. L. Steven, 1989 Evidence of superior performance from timing. Journal of Portfolio Management 15(3), 38-42;.

Verrecchia, R. E, 1980 The Meyers-Rice conjecture: A counterexample. Journal of Financial Economics 8(1), 87-100.

Viet, E. T., and J. M. Cheney, 1982 Are mutual funds market timers?. Journal of Portfolio Management 8(2), 35-42.

Warther, Vincent A, 1995 Aggregate Mutual Fund Flows And Security Returns. Journal of Financial Economics 39(2/3), 209-235.

West, R, 1968 Mutual fund performance and the theory of capital asset pricing: Some comments. Journal of Business" 41(2), 230-234.

Woodward, R. S, 1983 The peformance of UK closed-end funds: A comparison of the various ranking criteria. Journal of Business Finance and Accounting 10(3), 419-427.

Young, W. E., and R. H. Trent, 1969 Geometric mean approximations of individual security and portfolio performance. Journal of Financial and Quantitative Analysis 4(2), 179-200.

Zbesko,J, 1989 Determinants of performance in the bull market. Journal of Portfolio Management 15(2), 38-44.