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The measurement of investment risk

Published online by Cambridge University Press:  20 April 2012

R. S. Clarkson
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Extract

1.1 In the paper ‘Improving the Performance of Equity Portfolios’ by Clarkson and Plymen the authors concluded that Modern Portfolio Theory methods made no contribution whatever to improving the performance of equity portfolios and suggested that attention should be paid instead to the application of fundamental analysis, which—if carried out by skilled and experienced analysts—should lead to higher expected returns. The only practical application of techniques related to Modern Portfolio Theory appeared to be in the area of Index Funds, where it is desired to track the performance of a chosen index as closely as possible.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 116 , Issue 1 , June 1989 , pp. 127 - 178
Copyright
Copyright © Institute and Faculty of Actuaries 1989

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References

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