Ambiguity when Performance is Measured by the Securities Market Line
- Creators
- Roll, Richard
Abstract
Imagine an idealized analog to the activities of professional money managers, a contest whose rules are as follows: (a) Each contestant selects a portfolio from a specified set of individual assets. (b) Returns are observed on the assets. (c) After each period of return observation, the portfolios are re-balanced to the initial selections. (d) After an interval consisting of several periods, "winners" and "losers" are declared for that interval. (e) Contestants choose a new portfolio, or keep the old one, and the process (b) through (d) is repeated. (f) After several intervals, consistent winners are declared to be superior port- folio managers and consistent losers are declared inferior. In the absence of any consistency, everyone is declared non-superior.
Additional Information
© 1978 the American Finance Association. Comments and suggestions by Alan Kraus, David Mayers, Stephen Ross and Eduardo Schwartz are gratefully acknowledged.Additional details
- Eprint ID
- 95258
- DOI
- 10.1111/j.1540-6261.1978.tb02047.x
- Resolver ID
- CaltechAUTHORS:20190506-142755778
- Created
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2019-05-06Created from EPrint's datestamp field
- Updated
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2021-11-16Created from EPrint's last_modified field