Objectives and Performance of Mutual Funds, 1960–1969

John G. McDonald

Journal of Financial and Quantitative Analysis, 1974, vol. 9, issue 3, 311-333

Abstract: The purpose of this study is to measure and evaluate the objectives, risk, and return of 123 American mutual funds using monthly returns in the period 1960–1969. The paper considers five questions: How were stated fund objectives related to risk and return, as measured over the subsequent decade? How did funds of various objectives perform in terms of return and return-to-risk measures? Did average excess return increase with risk? Was the return-to-risk performance of the average mutual fund better or worse than that of the stock market as a whole? How did the slope of the mutual fund line of returns versus beta compare to the capital market line; i.e., did funds at one end of the risk spectrum appear to “outperform” those at the other end?

Date: 1974
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