This paper derives formulas for higher order duration measures, including D(1) (i.e. Macaulay duration), D(2) (i.e., slope duration), D(3) (curvature duration), etc. We develop a general iterative method to obtain formulas for any higher order measure D(m), for an arbitrary positive integer...

This paper examines managerial skill of U.S. equity mutual funds in the context of both abnormal return and risk. We recognize the role of fund life cycle and use different evaluation horizons to control for fund age and the overall state of the market. We find that a small percentage of equity...