Wall Streeters know that performance varies from one time interval to another, that there are a semi-infinite number of time intervals, and that there are always many such periods with plausibly good performance. Wall Streeters also know that various computations of performance give different...

Pension fund officers, the poor unlucky souls who run pension funds, are inundated with good real or simulated investment performance records brought to them by used car salesmen investment managers. This is no accident – failure does not sell – either to the pension fund officers themselves...

In a recent paper in the Financial Analysts Journal, Sinha [1998] reviews and critiques Ferguson and Hitzig [1993] concerning the implications of cross-ownership of shares. He claims that, while our mechanisms for gen-erating our tables and circumventing consolidation requirements are cor-rect,...

In 1940, Fred Schwed, Jr. wrote a book about investing called "Where Are the Customers' Yachts?" The book begins with the following lines:"Once in the dear dead days beyond recall, an out-of-town visitor was being shown the wonders of the New York financial district. When the party arrived at...

Choice of a "reference portfolio" such as the Standard & Poor's 500 - commonly termed a market index - plays a central role in "alpha-beta" based performance measurement procedures. The market risk, or beta, of the portfolio to be measured is computed in relation to the reference portfolio. The...

The prices recently offered for Conoco and Marathon Oil clearly astounded many market observers. Where did these figures - 10, 20, 30 per cent over prevailing market values - come from? Had the managements of Dome Petroleum, Mobil, Du Pont et al. deserted their calculators for magic wands? Were...

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

Many investors occasionally receive what they believe to be nonpublic information about a security. Others feel that by applying superior analytical skills to public information, they are able to arrive at valuable insights that are not generally appreciated. In either case, there is a...

A levered investment in the S&P 500, with the leverage chosen to achieve a beta of 1.5, would have outperformed the index itself by 150 basis points annually over the 1928-83 period. Unfortunately, the risk incurred by such a strategy is generally unacceptable to even aggressive investors. There...