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The Measurement of Investment Risk

Published online by Cambridge University Press:  03 October 2014

R. S. Clarkson
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Extract

1.1 In the paper “Improving the Performance of Equity Portfolios” by Clarkson and Plymen (presented to the Institute of Actuaries on 25th April 1988) the authors concluded that Modem 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 Modem 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
Transactions of the Faculty of Actuaries , Volume 41 , 1987 , pp. 677 - 750
Copyright
Copyright © Institute and Faculty of Actuaries 1987

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References

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