We test the efficiency of the US Treasury market by comparing the performance of two yield-spread mean-reverting trades, a 'riding the yield curve' trade and a comparable strategy in the S&P Index. From 1969 to 2000, 'riding the yield curve' and the S&P index are approximately equidistant from...

This article concerns the measurement of the investment skills of fund managers. A method is proposed that allows for a measurement and comparison of fund managers' performance across time and asset portfolios. The measure, the 'Excess Sharpe Ratio' (ESR) involves the construction of an...