This paper applies a single measure of investment performance to mutual fund portfolios for the 20-year period 1948–1967. It criticizes the efficacy of market indices, at least for the purpose of evaluating aggregate results of managed portfolios; it tests the predictive value of past results in forecasting future performance; and finally, it identifies two factors that are positively related to fund performance during the time period studied.
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Robert S. Carlson (1970) studied this question.
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