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- Title
COMPONENTS OF INVESTMENT PERFORMANCE.
- Authors
FAMA, EUGENE F.
- Abstract
The article discusses performance attribution for portfolios of securities. Previous work by other writers has often focused on the relationship between securities' risk and returns. The current paper seeks to determine the proportions of a portfolio's return that are due to skillful selection (selectivity), and the general upward trend of a market (timing). Modern capital theory is employed to both measure risk and define a benchmark, "naively selected" portfolio. The author emphasizes single-period returns, although multiple periods are discussed as well.
- Subjects
PORTFOLIO management (Investments); INVESTMENTS; SECURITIES; RISK; MATHEMATICAL models of investments; RATE of return on stocks
- Publication
Journal of Finance (Wiley-Blackwell), 1972, Vol 27, Issue 3, p551
- ISSN
0022-1082
- Publication type
Article
- DOI
10.2307/2978261