This paper applies a single measure of investment performance to mutual fund portfolios for the 20-year period 1948–1967. It criticizes the efficacy of market indices, at least for the purpose of evaluating aggregate results of managed portfolios; it tests the predictive value of past results in forecasting future performance; and finally, it identifies two factors that are positively related to fund performance during the time period studied.

Sanford Baum, Robert C. Carlson, James V. Jucker, Some Problems in Applying the Continuous Portfolio Selection Model to the Discrete Capital Budgeting Problem, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 2 (Jun., 1978), pp. 333-344