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If you study the works offered below, you will begin to understand the mess, so many managers now find themselves.
( willingly or not ?)
The quantitative formulas extrapolated onto CAPM school of portfolio management, casts its effects, as inertia onto private portfolio accounts. These show up in the trade, as algorithm's of social engineering.
Result; self referencing systematics; which operate to expand the use of investor private property. These systemics convert said property; to multiple paths of revenue, by which other participants, within the system profit.
This school breeds derivatives. The metrics serve the interests of those who use them, it encourages managers to function away from client interests by supply constraints, as a choice, to a client whose knowledge of alternatives is incomplete.
This school depends on a matrix of missing information.
IMO, this will take as much time to come out, as the stupidity of oil as a fossil fuel. Many of the market problems we see, like naked short selling, may in part be a necessity to carry out the self referential methods as systemic goals, derived as they are, these empirical formula, as substitutes for functioning Supply and demand..
In a system of systems, the main goal / product of prevailing output; of any system, is to frame through empirical parameters, any debate, defining the boundries as a self referencing system.
When the parameters are set in motion, they stay in motion until a bandwidth of different identity, is able to offset them. This is where we are now.
The finance industry crowd is committed........ inertia the result. A system of persuasion without feedback, is subject to the ultimate adjudicator RO/RS=CF.
The myriad of details, emerge from the award winning insights detailed below..
sharpe papers
Articles and Papers
stanford.edu
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Articles, Papers, Talks and Cases Available for Direct Viewing
"The Parable of the Money Managers,"
Reprinted with permission from The Financial Analysts Journal, July/August 1976.
A somewhat whimsical discourse on active and passive management.
Autobiography
An autobiography prepared for the Nobel Foundation in 1990. More than you would want to know about my life to that point
"Capital Asset Prices with and without Negative Holdings,"
My Nobel lecture in 1990. Includes a concise version of the original CAPM with extensions to cover cases in which negative holdings are not allowed.
Published in the Journal of Finance, June 1991, pp. 489-509
"The Arithmetic of Active Management,"
Reprinted with permission from The Financial Analysts Journal, January/February 1991
A more serious treatment of active and passive management.
Asset Allocation: Management Style and Performance Measurement.
Reprinted with permission from The Journal of Portfolio Management, Winter 1992.
Presents the method now generally known as Returns-based Style Analysis and shows results obtained from the analysis of U.S. mutual funds.
"Nuclear Financial Economics,"
Stanford Research Paper 1275, November 1993, subsequently published in: Risk Management: Problems & Solutions,
(William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp. 17-35.
NOTE: This is a very large pdf file that will take a very long time to load
The Sharpe Ratio.
Reprinted with permission from The Journal of Portfolio Management, Fall 1994.
Presents this measure of return per unit of risk and discusses its strengths and limitations.
The Styles and Performance of Large Seasoned U.S. Mutual Funds
Published on the World Wide Web, March 1995.
A study of the style and performance of 100 large, seasoned U.S. mutual funds. Tests the hypothesis that "winners repeat".
Setting the Record Straight on Style Analysis
Reprinted with permission from Dow-Jones Fee Advisor, November/December 1995.
An extensive interview with Barry Vinocur that deals with a number of questions about this technique.
Financial Economists Roundtable Statment on Risk Disclosure by Mutual Funds
A statement issued in 1996 concerning risk disclosure by mutual funds.
Morningstar's Performance Measures
An empirical study of Morningstar's performance measures and alternative measures used in academic and other industry analyses. Completed in December, 1997.
Bob Boomer
A case involving an individual who must decide how to use a 401(k) plan to save and invest for his retirement.
Vanguard Interview
An interview in the Summer 1997 issue of the publication In the Vanguard on basic issues of investing.
Mutual Fund Performance Measures
"Slides" from a presentation to the Institute for Quantitative Finance, October 7, 1997
Financial Planning in Fantasyland
A paper about the deficiencies of some financial planning software. Completed in December, 1997.
Morningstar's Risk-adusted Ratings (web version)
A paper on the theoretical aspects of the measures that form the basis for Morningstar's "Star" ratings. Completed in January, 1998.
Morningstar's Risk-adusted Ratings (published version)
A link to a .pdf file of this paper, published in the July/August 1998 issue of the Financial Analysts Journal, pp. 21-33.
Revisiting the Capital Asset Pricing Model
Reprinted with permission from Dow Jones Asset Management, May/June 1998.
An interview with Jonathan Burton that deals with a number of issues about the CAPM, factor models, and more.
Investors Need Quality Low-Cost Advice: A Conversation with Financial Engines' William Sharpe
An interview for the Mutual Fund Cafe' website with Virginia Munger Kahn on Financial Engines' approach to investment advice
The Journal Interview
An interview on performance measurement, from the Journal of Performance Measurement, Winter 1998/1999
The Distribution Builder: A Tool for Inferring Investor Preferences
A paper (with Daniel G. Goldstein and Philip W. Blyth) on a method for inferring an investor's preferences, September 2000
Individual Risk and Return Preferences: A Preliminary Survey
A paper describing the results obtained in a survey using the Distribution Builder aproach of Sharpe, Goldstein and Blyth, Sepember 2001
Also available: a slide presentation based on the paper
Budgeting and Monitoring the Risk of Defined Benefit Pension Funds
A draft of a paper on the ways in which mean/variance based risk management tools can be used by those responsible for defined benefit pension funds, September 2001
Indexed Investing: A Prosaic Way to Beat the Average Investor
A talk on indexed investing, May, 2002
Investment Strategy
An article in the UBS Wealth management magazine, 2nd quarter 2004, on the application of modern investment theory
Investment Adviser (UK) Interview
An article in the Dec. 6, 2004 issue of the magazine Investment Adviser, published by the Financial Times. Almost a verbatim transcript, not a polished piece.
Advisor Perspectives Interview
An article in the October 2007 issue of the online service, Advisor Perspectives.
L'Agefi Interview
An article (in French) in the December 14, 2007 issue of L'Agefi (Le Quotidien Suisse de la Finance et de L:Economie)
Index Universe Interview
An interview with Heather Bell about diverse subjects, including index funds, asset allocation, fundamental indices, ETFs and retirement savings
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