Keynes the Stock Market Investor: A Quantitative Analysis
University of Cambridge - Judge Business School, Department of Finance & Accounting
University of Cambridge - Judge Business School ; London Business School
University of Cambridge - Judge Business School
September 26, 2013
Journal of Financial and Quantitative Analysis (JFQA), Vol 50, No 4, 2015, pages 431–449
The consensus view of the influential economist John Maynard Keynes is that he was a stellar investor. We provide an extensive quantitative appraisal of his performance over a quarter-century in both calendar and event time, and present detailed empirical analysis of his archived trading records. His top-down approach generated disappointing returns in the 1920s and we find no evidence of any market-timing ability. However, from the early 1930s his performance improved as he evolved into a bottom-up stock-picker with high tracking error, substantial active risk, and pronounced size and value tilts. Our careful reconstruction of Keynes’ stock trading provides a unique record of realized performance and sheds light on how equity focussed investing developed historically.
Number of Pages in PDF File: 54
Keywords: Keynes, performance measurement, asset allocation, behavioral finance, value investing, endowment, innovation
JEL Classification: B26, G11, G14, G23
Date posted: March 17, 2012 ; Last revised: March 19, 2016
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