(a) 1
1 1.1 1.2 2 2.1 2.2 3 3.1 3.2 3.3 3.4 4 4.1 4.2 1999 4.3 2000 / 4.4 5 5.1 5.2 5.3 5.4 6 6.1 6.2 6.3 7 7.1 7.2 2
1999 2000 / 3
1 1.1 1997 11 2 3 1998 3 27 20 1 5 1998 3 27 20 3 3 20 2 5 1999 5 5 20 10 100 3 1999 6 15 4 30 2 2 9 27 4 30 4
1-1 33 2000 1999 2000 1999 2000 10 10 / 10 / / 1 1998.4.7 20 1.8814 37.63 2.75 5.30 8.05 2 1998.4.7 20 1.6712 33.42 1.90 4.25 6.15 3 1998.5.8 20 1.5260 30.52 4.06 3.85 7.91 4 1998.6.26 20 1.9682 39.36 3.20 5.75 8.95 5 1998.7.30 20 1.7825 35.65 3.90 4.85 8.75 6 1999.1.27 20 1.6638 33.28 2.31 4.20 6.51 7 1999.10.22 10 1.4120 14.12 0.54 1.85 2.39 8 1999.10.22 10 1.4389 14.39 0.28 2.65 2.93 9 1999.10.28 15 1.5593 23.39 0.16 3.48 3.64 10 1999.11.26 30 1.4197 42.59 2.16 2.16 11 1999.11.26 30 1.4790 44.37 2.04 2.04 12 1999.4.20 20 1.4202 28.40 0.22 2.77 2.99 13 1999.4.21 20 1.8101 36.20 1.67 4.52 6.19 14 1999.5.18 20 1.4649 29.30 1.75 2.95 4.70 15 1999.5.18 20 1.5882 31.76 1.50 3.30 4.80 16 1999.6.22 30 1.5940 47.82 0.35 3.20 3.55 17 1999.6.24 30 1.5492 46.48 0.49 3.40 3.89 18 1999.7.30 30 1.4183 42.55 2.51 2.51 19 1999.7.30 30 1.4698 44.09 2.81 2.81 20 1999.9.20 30 1.5851 47.55 3.00 3.00 21 2000.1.10 30 1.3531 40.59 1.64 1.64 22 2000.1.10 30 1.3858 41.57 1.70 1.70 23 2000.10.17 5 1.0571 5.29 0.10 0.10 24 2000.10.18 5 1.0086 5.04 / / 25 2000.2.24 5 1.1997 6.00 0.85 0.85 26 2000.5.15 5 1.1692 5.85 0.46 0.46 27 2000.5.17 5 1.1957 5.98 1.10 1.10 28 2000.6.30 5 1.1588 5.79 0.74 0.74 29 2000.7.11 5 1.0802 5.40 0.31 0.31 30 2000.7.18 5 1.1112 5.56 0.48 0.48 31 2000.8.17 5 1.0412 5.21 0.06 0.06 32 2000.8.4 5 1.1003 5.50 0.34 0.34 33 2000.9.20 5 1.0660 5.33 0.06 0.06 4 1999 10 5
11 11 2000 10 2000 10 33 562 33 847.35 1.67 5%, 4.84 2% 1.2 5 10 2 6
2.1 1960, Treynor 1965 Treynor Sharpe 1966 (Jensen 1968) CAPM Jensen Jensen Jensen 1972 Grinblatt Titman 1989 Jensen Jensen Jensen Grinblatt Titman 1989 1975 1984 Jensen 7
CAMP anomalies Fama French 1993 SZ SZ BM CAPM Carhart 1997 Fama French Fama French Carhart 1962 1993 Daniel Grinblat Titman Wermers 1997 1974 1994 Treynor Mazuy 1966 TM Admati,Bhattacharya,Pfleiderer Ross (1986) TM 2 Cumby Glem 1990 15 1982 1 1988 6 1987 TM 2 t Jensen(1972) Market Timer Bhattacharya Pfleiderer 1986 Jensen Jensen 8
TM TM TM Hendricks,Patel, Zeckhauser(1993) hot hand 1974 1988 165 sharpe Jensen 4 4, Icy hand Goetzmann Ibbotson(1994) 1976 1988 55 3 60 2 60 3 70 1 3 3 40% Carhart(1997) 1964 1993 8 9
4.6 0.7 1 1 2 3 2.2 Morningstar MORNINGSTAR LIPPER 2.2.1 1 2,,, 3 4 a b R 2, 2.2.2 morningstarrisk bearmarketratings 1 10
N N 2. 6 6 10 10 average returns annualized returns 1 N N 1 11
raw rating 2.2.3 3 3 5 10 3 5 10 3 5 3 5 10 5 60 3 40 10 10 50 5 30 3 20 12
3,, 3 Sharpe Trenyor Jensen,, 3.1 3.1.1 R p NAV + D t t = NAV t 1 1 R p t NAV t t NAV t-1 t-1 D t t 13
Rp 1 2000 5 23 5 23 3.1.2 p >1, P p <1, P p =1, P 3.1.3 / 1 14
1 Sharp S p Rp R f = σ p R p R f p R p Sharp S p 2 Treynor T p = R p R β p f p Treynor T p Treynor Sharp Treynor Treynor Sharpe Sharpe Treynor 3 Jensen Jensen 15
J p = R [ R + β ( R R )] p f p m f R m Jensen J p 3.2 EPS ROE ( ) α β β = / 16
2 1 b b 1/b 2 2 50% 1999 17
A B A B A B A,, 3.3 1, 2,,,,,, 3, 3.4 18
1 2 4 4.1 + 90% 4-1 19
1998 1998 98 1.5 0.84 0.659 0.48 0.45 7% 3.17% 2.2% 2.11% 98 13.55% 8.9% 1998 1.07 1.5 4-1 1998 210720 208150 218841 221442 215034 20
15002 6599 4811 8405 4533-4287 1511 14030 13038 9939 % 7.12 3.17 2.2 7.59 2.11 % 8.9 3.96 3.09 13.55 4.59 10715 8110 18841 21443 14472 % 5.08 3.89 8.61 9.68 6.73 % 6.35 4.86 12.13 17.28 14.63 1998 98 4-1 2.1 1.8 1.4 1 0.8 17.28% 14.23% 12.13% 6.35% 4.86% 4-1 4.2 1999 1999 22 19 4-2 19 15 1998 5 19 5 19 17 89.4% 4-2 1999 18.94% 42.38% 43.13% 24.10% 19.18% 14.28% 16.73% 25.65% 7.37% 2.21% 13.97% 28.64% 65.96% 9.75% c 19.18% 14.28% 16.73% 11.91% -6.98% -2.76% 28.49% 33.17% 54.54% 15.08% 19.18% 14.28% 16.73% 16.44% -1.65% 11.76% 21
20.54% 46.79% 42.12% 27.08% 19.18% 14.28% 16.73% 30.06% 10.35% 3.81% 26.39% 41.83% 42.98% 23.85% 19.18% 14.28% 16.73% 25.10% 7.12% 9.66% 19.03% 34.96% 46.28% 18.78% 20.65% 16.53% 18.59% 16.37% 0.19% 0.44% 2.02% 9.02% 152.99% -4.78% 13.73% 12.94% 13.33% -4.31% -18.11% -11.31% 14.12% 31.31% 52.44% 14.89% 13.73% 12.94% 13.33% 17.98% 1.56% 0.79% 15.94% 20.97% 59.99% 8.39% 22.05% 21.84% 21.95% -0.98% -13.56% -6.01% 12.95% 22.04% 32.35% 14.91% 22.05% 21.84% 21.95% 0.09% -7.04% -9.00% 4.85% 8.20% a 100.15% -0.01% -1.44% -6.18% -3.81% 12.01% 3.80% 8.66% 3.53% 3.74% b 210.16% -4.12% -1.44% -6.18% -3.81% 7.55% -0.31% 7.34% -1.35% -3.62% -141.1% -8.73% -12.3% -15.1% -13.7% 10.12% 5.01% 12.39% 0.10% -3.64% -139.2% -8.71% -12.3% -15.1% -13.7% 10.10% 5.03% 13.84% -0.63-1.40% -297.1% -5.56% -17.% -19.5% -18.3% 16.90% 12.74% 18.30% 0.59% -3.33% -8.11% -3.60% -6.24% -6.75% -6.50% 3.17% 2.90% 7.09% 3.50% -0.44% 0.00% -0.44% -5.72% -8.97% -7.35% 6.91% 6.91% 10.85% 6.30% -0.38% 0.00% -0.38% -5.27% -9.19% -7.23% 6.85% 6.85% 13.53% 0.12% 0.83% 0.00% 0.83% -5.72% -8.97% -7.35% 8.18% 8.18% 7.47% 0.164 0.167 0.064 0.063 0.032 0.048 0.116 0.016 1999 2000 3 25-30 99 ( a b c ) 10 8 9 9 1998 1998 3 1998 2 5 1999a 1999 4-2 13 68.4% 22
19 4 15 1999 0.1748 100 16.44 91.7% 19 2 17 1999 15 78.94% 10 4 9 1999 1999 5 1998 19 38.56% 31.11% -3.63% 0.38 42.19% 10 99 4 30 5.19 1999 4 8 31.31% 18.54% 9.02% 2.10 3.47 8.83 5.19 1580 23
1999 4 30 18 5.19 5 10 5 3 5 5 5 5 38.56 5 23.66 14.84 5 1999 5.19 4.3 2000 / 4.3.1 1 3 / 24
1 2 3 Jensen Treynor Jensen Treynor 2 10 33 11 1 22 2000 1999 3 2000 4 A A A A 4 52 4.3.2 4-3 4-4 4-3 25
4 3 22 2000 63.97 63.97 1.067 6.648 59.02 59.02 1.023 3.677 58.27 58.27 1.023 3.410 58.17 58.17 1.019 3.334 57.94 58.07 1.014 3.318 57.89 57.94 1.011 3.315 54.74 57.89 0.992 3.298 52.99 54.74 0.949 3.088 52.53 52.99 0.925 2.982 51.73 52.53 0.922 2.905 48.74 48.74 0.913 2.864 48.51 48.51 0.876 2.859 48.37 48.37 0.866 2.830 47.14 47.14 0.860 2.705 45.12 45.12 0.851 2.700 43.84 43.84 0.813 2.593 41.79 41.79 0.809 2.588 41.44 41.44 0.765 2.502 40.55 40.55 0.756 2.501 40.42 40.42 0.754 2.483 39.84 39.84 0.739 2.324 39.51 39.51 0.734 2.131 33.17 33.17 0.614 1.806 4-4 22 2000 1 0.399 1.538 0.423 0.868 0.354 1.532 0.398 0.838 0.351 1.508 0.352 0.793 0.344 1.496 0.332 0.756 0.342 1.415 0.326 0.745 0.337 1.409 0.313 0.715 0.321 1.398 0.302 0.709 0.310 1.396 0.273 0.699 0.310 1.311 0.256 0.691 0.305 1.279 0.255 0.685 0.300 1.252 0.250 0.679 0.294 1.235 0.244 0.667 0.291 1.228 0.241 0.658 0.286 1.190 0.216 0.654 0.284 1.181 0.214 26
0.646 0.274 1.179 0.209 0.637 0.272 1.156 0.201 0.634 0.269 1.139 0.168 0.621 0.269 1.129 0.161 0.605 0.252 1.113 0.152 0.505 0.247 1.095 0.137 0.471 0.235 1.083 0.136 0.377 0.138 0.891 0.000 22 9 4 22 8 14 18 4 22 1 0.6 0.87 3 0.5 2000 2000 1 4-5 1999 5.19 10 0.91 1 2000 22 0.66 1 1999 0.75 2000 0.88 4-5 / 10 1999/5/21 2000/6/9 0.7524 3.584 0.9189 22 2000 0.880509 2.979242 0.666045 1 2000 27
4-5 22 4 18 0.70 0.96 0.82 4.4 10 2000 28
2000 1 4 12 29 A 126 83 43 B B B = / 100 12 29 1 4 12 29 5 = / / 100%. 29
4-6 2000 % % % 01/04 1406.37 15005 667.10 47.43 12/29 2073.47 26931 11926 79.48 4240 21.22 01/04 414.69 12258 221.04 53.30 12/29 635.73 21160 8902 72.62 1827 15.06 16.19% 14.07% 4-6 47.43% 21.22% 1/5 53.3% 15.06% 15.06% 2001 A 4-7 B A (2001/02/19-2001/05/17) A B 2001/02/19 B A 2001/05/17 B A B 589.21 1606.79 1.29% A 45795.95 50881.58 3.16% 145% B 519.54 1389.71 3.49% A 14853.12 16981.93 8.18% 134% 83.20 207.33 149% B 127.72 396.51 210% 30
1967.55 2194.64 11.5% 591.30 653.53 10.5% 2001 2 B B B 2001 02 19 2001 05 17 A B A B B 2001 02 19 B A 1.29% 2001 05 17 3.16% 145% B B A 3.49% 8.18% 134% B A B 2001 02 19 2001 05 17 A B B 149% B 210% 11.5% 10.5% B B B B B / 31
5 5.1 ( ) 1998 36000 800 30000 13000 8000 98 ( ) 1998 98 1998 40 32
99 1999 1999 5.19 5 19 6 30 60% 10 40% 50% 2.32% 4.53% 7.81% 5.19 1 2 33
19 14.01 6.26 19 15 27.07 5.2 1999 5.19 5-1 99 % % % % 0.266 8.55 3.306 93.18 37.65 25.94 0.260 7.69 3.301 27.70 112.34 131.90 0.198 7.60 2.631 96.85 72.15 71.83 0.303 11.31 2.771 190.26 198.48 192.00 0.325 9.70 3.384 40.33 65.55 61.74 0.250 9.33 2.792 35.17 74.70 75.73 0.342 9.71 3.442 102.17 64.61 74.19 0.204 6.23 3.158 99.08 147.92 84.96 0.276 7.98 3.477 41.50 46.68 45.04 0.228 8.23 3.035 14.56 233.72 134.43 1999 6 30 1999 7-8 99 0.30 11.31% 34
9.7% 3 10 10 0.25 0.30 10 0.20 9 0.27 9.1% 5-2 99 % 100 30 100 0-30 1 0 3 2 4 2 1 3 1 4 3 1 2 3 2 4 2 4 1 1 3 0 3 3 1 2 2 4 3 1 ST 2 0 6 1 1 1 0 3 3 3 1 0 4 5 0 1 1 3 2 4 1999 6 30 1999 7-8 190% 98 99 2335.37% 1320% 10 10 35
8-6 100% 30% 100% 30% 10 4 5.19 1.5 1.6 5.7 98 5 3 99 5 3 7 99 ST 1999 50 0.56 3 40% + 5.3 3 2000 4 29 36
11 1 1 22 5-3 22 2000 9 4 22 4 2000 5-4 10 1999 5.19 1999 5.19 5 21 6 30 10 20 40.1% 4.45 10 2 20% 8 1999 0.20 6 30 9 10 9 10 11 5 11 5 12 31 37
2000 1 4 2 18 20 14% 4.63 3 20 15% 5 2000 3 17 8 25 22 18.12% 4.63 7.68 22 5-6 73.39% 66.445% 7 8 22 2114.52 5-3 22 2000 % % 1.2436 58.26632 1.0218 43.84014 1.1645 58.1673 1.0347 41.44057 1.1052 57.88778 0.9636 52.53217 1.1461 57.93561 0.9667 52.99472 1.1023 48.51151 1.0024 39.5094 1.1176 48.7395 1.0056 33.16986 1.0024 59.01836 0.9638 47.14182 1.0316 40.41512 1.0682 45.12264 1.0704 48.37444 1.0013 41.78568 1.0002 54.73851 1.0072 40.54767 0.986 63.97021 1.0075 39.84084 51.73 58.07 22 38
5-4 1999 10 % % % % 5.21-6.30 6.30-9.10 9.10-11.5 11.5-12.31 33.79-10.76 5.42 7.166-9.54 3.76-0.91-4.73 44.36-0.19 4.85 6.596-9.89 3.41 2.42-1.4 43.53-1.02 1.24 2.986-8.24 5.06-0.35-4.17 51 6.45 6.89 8.636-10.67 2.63-0.61-4.43 58.07 13.52-3.32-1.574-13 0.3 3.52-0.3 41.95-2.6-1.44 0.306-8.41 4.89 0.9-2.92 34.89-9.66 4.55 6.296-8.37 4.93-0.098-3.918 17.13-27.42 2.7 4.446-9.38 3.92-1.4-5.22 37.49-7.06-3.66-1.914-10.53 2.77-0.25-4.07 38.77-5.78-1.93-0.184-11.14 2.16-1.48-5.3 10 40.1-4.45 1.53 3.276-9.9 3.4 0.17-3.65 44.55-1.746-13.3 3.82 49.63-4.15-12.91-6.37 5-5 2000 22 % % % % % 1.7 2.18 3.17 8.25 9.29 2.18 3.17 8.25 9.29 11.17 14.09-4.5 3.27 3.84 15.45-10.35-5.6 2.82 5.75-3.84 24.8 6.19-2.34-1.77 15.43-10.37-4.19 4.26 4.25-5.34 10.05-8.55 2.79 3.36 14.10-11.71-4.57 3.88 5.29-4.29 15.12-3.48 4.46 5.03 12.37-13.43-5.84 2.61 8.074-1.51 16.54-2.06 2.68 3.25 14.35-11.45-4.13 4.32 4.964-4.63 7.60-11.00 1.049 1.619 23.67-2.13-5.22 3.24 5.981-3.61 8.80-9.804 3.69 4.26 21.85-3.95-4.36 4.08 5.26-4.32 8.9-9.7 0.257 0.827 21.13-4.67-6.79 1.66 5.926-3.66 15.26-3.34-0.82-0.254 9.528-16.28-4.21 4.24 7.30-2.28 13.16-5.44 1.018 1.58 13.16-12.64-3.61 4.84 6.67-2.91 15.56-3.04 2.57 3.14 17.54-8.26-5.62 2.83 5.69-3.89 14.41-4.19 2.49 3.06 19.53-6.27-5.21 3.251 8.7-0.889 9.81-8.79 1.76 2.33 26.61 0.801-5.28 3.178 6.18-3.40 12.72-5.88 2.874 3.44 17.3-8.505-5.44 3.02 5.96-3.62 17.41-1.20 2.818 3.38 21.02-4.78-2.75 5.702 3.30-6.28 25.13 6.52-1.41-0.84 8.292-17.51-4.53 3.92 7.45-2.13 19.39 0.78 1.11 1.67 20.92-4.88-5.71 2.74 5.559-4.03 10.13-8.47 2.492 3.062 19.2-6.61-4.12 4.335 6.36-3.22 14.43-4.17-2.65-2.082 27.47 1.67-5.73 2.727 6.52-3.06 6.19-12.41 2.178 2.74 23.58-2.221-4.55 3.91 5.71-3.88 1.87 2.44 12.6-13.20-4.84 3.611 6.733-2.85-5.46-4.89 23.59-2.217-3.4 5.059 7.95-1.64 39
22 13.98-4.63 1.21 1.78 18.12-7.68-5.16 3.3 6.16-3.43 18.61-0.57 25.81-8.46 9.59 25.15-1.27 24.19-7.22 9.08 5-6 2000 % 2000-3-31 2000-6-30 2000-9-30 85.72 66.93 71.54 73.62 75.38 69.66 93.01 76.12 73 68.36 74.7 65.08 78.18 71.48 75.4 82.66 69.54 69.34 80.96 66.87 66.93 76.38 70.22 77.11 78.22 71.35 68.92 78.15 63.89 67.92 75.28 75.17 72.24 61.31 73.43 63.3 30.83 44.3 39.34 78.74 45.99 42.36 77.39 77.81 66.79 78.37 61.76 66.43 74.41 62.8 67.95 71.2 68.99 69.33 71.82 66.77 71.87 74.91 68.78 66.78 75.28 68.25 66.71 49.93 41.26 33.86 73.39 66.445 65.08 22 5 10 16 17% 40
2000 9 29 11 17 2 18 3 17 1.27% 0.57% 1.21% 8 25 9 29 7.22% 8.46% 5.16% 3.3 5.4 1998 5 5 5 4 ST 3 3 2 41
1999 5.19 6 30 9.5 7.9 5.9 6 7 80.67% 1999 1999 1999 2 8 10 5-7a % 1999-6-30 72.09 77.92 78.77 79.06 78.72 78.92 76.47 83.96 92.77 88.08 80.67 1999-12-32 74.59 73.51 67.03 75.31 70.73 72.52 77.24 65.72 74.84 61 71.2 2.5-4.41-11.74-3.75-7.99-6.4 0.77-18.24-17.93-27.08 9.42 1999 6 30 12 30 1999 42
1999 7-8 2000 3 5-7b 1999 6-30 12-31 6-30 12-31 6-30 12-31 152647.05 178271.6 174494.9 190973.5 183522 187458 79196.21 33367.4 95893.2 20517.8 59515.6 3971.2 22782.14 57764.27 58938.6 61025.2 57672-117.7-608.94-2725.03-744.4 241.8 4 254559.582 268794.33 326656.6 271772.1 243037 249343 % 85.55 93.36 95.09 90.88 78.77 87.31 297537.48 287889.63 343502.1 299032.3 308504 285565 1.4877 1.43944815 1.717511 1.4951615 1.54252 1.4278 1999 5 1998, 90% 4 2 4 6 30 50% 31% 44% 70% 95% 60% 1/3 5-8a 5-7c 1999 6-30 12-31 6-30 12-31 6-30 12-31 6-30 12-31 165385.6 186694.7 177602.8 162320.2 156979 177221.8 136894.1 175466 95127.6 48824.9 72825.9 12878.47 76893.5 18517 60532.6 17313 29624.6 63124.4 1000 58120.5 61444 54525.6 65657.9 51625.8 43
-2095.2-342.5-484.9-645.09 21.8 72.63-162.6 4 288100.1 298301.5 251469.7 232834.3 294720.4 250286.2 263201.4 244242.2 % 87.43 95.38 88.24 95.39 99.45 92.72 96.1 94.49 329495.1 312724.6 284970.2 244081.8 296333.9 269910.2 273870.1 258467 1.6475 1.563623 1.424851 1.220409 1.48167 1.3496 1.3694 1.2923 5-8a 1999 20774.3 40766.75 53049.3 33222.2 51585.2 36498.77 19083.4 38638.6 48849.34 32757.16 49309.58 35928.42 19083.4 39103 47120.3 34795.1 48258.7 35156.2-464,4 1729.04-2037.94 1050.88-470.28 17860.1 36672.28 50000 28925.6 48577.33 32363.16 0.089 0.18 0.25 0.14 0.24 0.16 10970.9 31801.1 39564.56 32363.95 12382.4 23784.8 22887.6 35175.6 9735.71 30984.29 35860.97 31899.19 9687 22788.2 15947 32386.53 7743.74 30908.96 35185.5 33440.86 10139.3 22788.3 14134.6 34206.7 1991.9 75.4 675.47-1541.67-452.3 0 1812.3-1820.07 8062.8 28051.9 36458.1 27779.5 11507.5 20180.7 20085.5 31285.8 0.04 0.14 0.18 0.14 0.057 0.093 0.1 0.15 5-8b 1999 1.96 0.62 0.70 2.89 0.82 1.92 1.53 2.02 0.67 0.73 3.18 0.88 2.35 2.03 2.04 0.73 0.73 3.99 0.95 2.24 2.42 2.0552 0.57 0.66 3.47 0.76 1.75 1.56 2.05 0.57 0.66 3.5 0.77 1.63 1.5 % 51.4 36.28 59.07 51.06 35.15 31.29 44.48-0.2467-1.27-0.65-0.49-0.50-1.79-0.77 ( ) -9647.85-44469.8-22939 -15403.1-16770.5-40888.4-26423.7 7 1999 44
90% 5-8b 0.2467 1 0.25 0.5 0.65 0.77 1.27 1.79 1999 1 1999 2000 2 45
5.19 3 4 1999 50 0.56 40% 5 1999 4.788 19 10.144 0.13 16.494 11.706 2000 6 4 4 1999 1938 1992 1997 6 95% 46
7 1999 8 10 6 6.1 6.1.1 47
6.1.2 1998 10 1 4 3 7 2 1 5 40% 98 60% 6.9 2354 2000 3 32.08% 29.19% 5 1999b 48
23.55% 22 15 1000 1000 3 1999 5.19 NAV 1999 NAV 5.19 6-1 6-2 10 5.19 10 5.19 33.79% 17.13% 60% 10 40% 9 10 11 15 9.38% 9.9% 2000 10 6 30 0.0924% 7 9 9 49
6-1 1999 (%) 5.21-6.30 6.30-9.10 9.10-11.5 11.5-12.31 12.31-2000.2.18 1.0046 33.79 5.42-9.54-0.91 21.02 1.011 44.36 4.85-9.89 2.42 27.14 1.0722 43.53 1.24-8.24-0.35 17.85 1.0652 51.00 6.89-10.67-0.61 26.8 1.0542 58.07-3.32-13.00 3.52 26.26 1 41.95-1.44-8.41 0.90 15.76 1 34.89 4.55-8.37-0.098 17.62 1 17.13 2.70-9.38-1.40 17.56 1 37.49-3.66-10.53-0.25 24.37 1 38.77-1.93-11.14-1.48 21.47 40.1 1.53-9.9 0.17 21.5 59.4-5.45-13.3 3.82 22.06 63.3-8.07-12.91-6.37 29.03 6-2 1999 (%) II 5.19 6.30 6.30 7.30 7.30-9.3 5.19 6.30 6.30 7.30 7.30-9.3 4.94 0.525-0.6 4.53-0.052-0.07 6.14 0.525-0.49 2.32-0.463 0.0924 6.01-0.521-0.26 5.58-0.588-0.9855 6.85 1.194-0.83 5.65-0.927-0.397 7.81-0.783-1.078-1.396-0.0613 5.64-0.41-0.663-0.258-0.6197 50
6.2 6.2.1 6.2.2 90 55 55 55 1038 A 55 507 1000 51
34 100 1000 293 55 100 280 90 ST PT 90 10 20 22% 10 20 65 72.2% 20 5 5.56% PT 6 1999 12 31 A 160 20 34 601 55 90 697 1038 67.15% A 52
6.2.3 1999 1992 25 1995 1997 27 97 40 19 1997 20.81% 55.94% 23.2% 80% 90 1999 1999 53
6-3 13.09% 28.41% 30% 6-3 7.2-7.9 7.9-7.1 6 1999 (%) 7.16-.2 3 7.23-.3 0 6 30 % % 13.09-5.35 5.0-5.32 851.061 11.83 2.96 28.41-1.18 4.61 2.1 1693.08 17.53 4.48 1.48-2.99 30.27-2.17 2312.55 25.69 9.63-9.72 7.73 31.65-4.15 1741.58 26.38 6.98-4.84-3.15 9.41 12.77 1759.09 31.47 8.41-0.69-6.81 7.16 2.22 950 13.65 4.71-11.23-12.12 10.7-0.9 4 1840.98 10.04 2.51-4.14-3.05 1.902-0.266 945 15.75 4.038 4.0-10.15 6.05 5.7 1939.61 27.73 10.208-4.77-16.46 7.14 7.73 5 901.05 37.54 9.08 2.25-15.82 9.01 6.11 1953.74 19.53 6.51 5.79-14.86 11.21 0.52 876.58 14.6 5.15 3.56-7.93 8.62 2.49 1380.2 10.65 4.01-8.11-5.58 11.52 2.68 2119.27 41.55 14.17-1.7-12.13 13.28 0.58 932.66 15.54 1.63-0.65-1.26 10.37-5.41 1887.73 31.46 7.86-6.14-7.68 6.34 6.89 1303 10.52 4.48 5.9-4.26 17.29-7.59 1358.47 22.64 7.55 1.32-2.39 4.05-8.98 919.83 20.44 6.1-5.73-12.46-2.81-2.74 902.77 20.87 7.68 5.8-0.47-1.67-9.51 1133.79 24.84 6.77 54
ST 7.94 16.29 8.01 1.1 670.8 7.94 2.15 1.41-9.61 3 14.29 1076.51 5.98 0.89 1999 6 30 top-down (bottom-up) Indexing 20 4 1999 55
6-4,, 50 5 3 2 50 30 20 5 3 2 56
6-4 1999.5.21-6.30 1999.7.2-9.24 1999.10.8-12.31 1999.12.31--2000.2.18 33.79 5.13-4.45 21.02 44.36 1.59 1.75 27.14 43.52 5.95-4.78 17.85 51.01 10.94-7.68 26.80 58.07-0.99-3.69 26.26 41.95-2.27-2.48 15.76 34.89 8.38-3.22 17.62 17.13 5.39-5.56 17.56 37.49-4.58-4.98 24.36 38.77-1.84-6.76 21.46 8.74-5.04 26.54 0.43-3.71 24.95-2.51 17.87-2.99 21.27 0.60 24.14 29.64 28.07 12.40 21.268 9.09 15.5 9.43 59.4-7.03-13 22.06 63.26-8.36-13.46 29.03 4 57
2000 Momentum Investing 6.3 1 2 5.19 3 58
4 5 7 7.1 59
1 2 3 4 5 1 2 3 4 5 6 7 8 9 7.2 60
B 61
62
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