Performance Measurement in Finance

374 Index

Measurement of performance (continued)

Treynor-Mazuy measure, 11–13

Treynor measure, 4–5

UK investment trusts,

performance data, 167–73

time varying properties, 173–80

Mehra, R., 235n

Merton, R.C., 8, 13, 14, 15, 16, 17, 18,

220, 221, 224, 232

Merton-Henriksson test, 348, 355, 356,

357, 359, 361

Meyer, M.A., 290

MFR, see Minimum Funding

Requirement

Miller, R.E., 53

Minimum Funding Requirement (MFR),

109, 128, 130, 131

Mispricing of a security, 3

Mitchell, M, 97

Modest, D.M., 8, 9, 10, 11, 12, 161,

234n

Modigliani, F, 24, 25, 26

Modigliani, L., 24, 25, 26

Moizer, P., 288

Momentum measures of performance,

38–40

Monte Carlo simulation, 64, 66, 67, 96,

120, 121, 146, 264, 274, 276

applied to a portfolio of financial

instruments, 276, 277

used for step-ahead forecasts,

280, 283

Mookherjee, D., 290

Morey, M.R., 59

Morningstar Inc, 56–9

Morrison, D.F., 236n

Murphy, K.J., 290

Murray Income Trust, 177

Muth, J.F., 240

Mutual fund misclassification in

evaluation of performance,

63–5

Myners, P., 116n, 131

Myners Review of Institutional

Investment, 108

Naik, N., 97

Nakamura, M., 221

Nalebuff, B.J., 290

Nash equilibrium, 297, 298, 299, 300,

301, 302, 303, 310

NCF, see Net cash flow

Nelsen, R., 181n

Nesbitt Burns Investment Company, xii,

198, 199, 200

Net cash flow, 31, 32

New York Stock Exchange Fact Book,

286n

Newey, W.K., 244

Newton Managed Fund, 120

Ng, L., 239

Niden, C., 247

Nijman, T., 62, 67, 68

Nimalendran, 60

Non-parametric test of forecasting

abilities, 14–17

O’Brien, J., 74, 75

Office of Fair Trading, 343n

Orthant probability and portfolio risk,

261–82, see also Analysis of a

professionally managed portfolio;

Simulation of portfolio performance

empirical comparisons, 274–82

comparison of standard deviation of

returns, 279

distributional characteristics of

portfolio assets, 277

market neutral investment portfolios,

274–6

Monte Carlo simulations, 276–82

step-ahead forecasts, 280

generalized multivariate equation for a

portfolio, 271

implications for absolute and relative

risk, 271–4

absolute risk of long/short

investment strategies, 272

portfolio variance for two-asset

investment, 273

relative risk of long-only strategies,

272–4

instantaneous measure of association,

definition, 267

orthant probability description of

portfolio distributions, 264–71