1、 1500 单词， 7500 英文字符， 2050 汉字 Can Mutual Funds Outguess the Market JL Treynor， KK Mazuy ANA LYTICAL APPROACH Thus, when we talk about investment managers outguessing the market, we mean anticipating whether the general stock market is going to rise or fall and adjusting the composition of their portf
2、olios accordingly. That is, if they think the market is going to fall, they shift the composition of the portfolios they manage from mor e to less volatile securities (including bonds). If they think the market is going to rise, they shift in the opposite direction. The result of such shifts is a ch
3、ange in effective portfolio volatility. (A simple graphical measure of portfolio volatility was developed by one of the authors in a previous Harvard Business Review (HBR) article,1 and is reviewed in some detail later in this article.) Performance Data Used Data for the mutual funds in our sample w
4、ere obtained from Investment Compa- nies 1963, by Arthur Wiesenberger Company.2 For open-end investment companies, Wiesenberger employs the following formul a to compute rate of return: “To asset value per share at the end of the period, adjusted to reflect reinvestment of all capital gains distribu
5、tions, add dividends per share paid during the period from investment income, similarly adjusted; divide the total by the starting per share asset value.”3 The resul ting rate-of-return figure is only approximate, since it disregards sub- tleties relating to (1) the timing within the period of divid
6、end distributions and (2) the relative after-tax value to the shareholder of market appreciation, on the one hand, and of dividend-interest income, on the other. We feel, however, that the measure is probably adequate for our purpose, even though these effects are disregarded. The Characteristic Line If, year by year, the rate of return for a managed fund is plotted against the rate of return, similarly defined, for a suitable market average such as the Dow-Jones Industrial A
