374 Index
Measurement of performance (continued)
Treynor-Mazuy measure, 1113
Treynor measure, 45
UK investment trusts,
performance data, 16773
time varying properties, 17380
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, 569
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, 1417
O’Brien, J., 74, 75
Office of Fair Trading, 343n
Orthant probability and portfolio risk,
26182, see also Analysis of a
professionally managed portfolio;
Simulation of portfolio performance
empirical comparisons, 27482
comparison of standard deviation of
returns, 279
distributional characteristics of
portfolio assets, 277
market neutral investment portfolios,
274–6
Monte Carlo simulations, 27682
step-ahead forecasts, 280
generalized multivariate equation for a
portfolio, 271
implications for absolute and relative
risk, 2714
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, 26471

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