Keynes the Stock Market Investor: A Quantitative Analysis
University of Cambridge - Judge Business School, Department of Finance & Accounting
London Business School; University of Cambridge - Judge Business School
University of Cambridge - Judge Business School
September 26, 2013
Forthcoming, Journal of Financial and Quantitative Analysis (JFQA)
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: August 17, 2015
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