Tax-Efficient Investing

"The Advantages of Tax-Managed Investing," Ludwig Chincarini and Daechwan; The Journal of Portfolio Management; Fall 2001.

"Equity Portfolio Structure and Design in the Presence of Taxes," David M. Stein; Journal of Wealth Management; Fall 2001.

"The Case for Whole Stock Portfolios," Richard M. Ennis; The Journal of Portfolio Management; Spring 2001.

"Tax-Efficient Investing Is Easier Said Than Done," Robert H. Jeffrey; The Journal of Wealth Management; Summer 2001.

"Loss Harvesting: What’s It Worth to the Taxable Investor?" Robert D. Arnott, Andrew L. Berkin, and Jia Ye; The Journal of Portfolio Management; Spring 2001.

"How Well Have Taxable Investors Been Served in the 1980s and 1990s?" Robert D. Arnott, Andrew L. Berkin, and Jia Ye; The Journal of Portfolio Management; Summer 2000.

"The Attraction of Tax-Managed Index Funds," James P. Garland, The Journal of Investing, Spring 1997.

"Is Your Alpha Big Enough to Cover Its Taxes?" Robert H. Jeffrey and Robert D. Arnott, Journal of Portfolio Management, Spring 1993.

"Ranking Mutual Funds on an After-Tax Basis," Joel M. Dickson and John B. Shoven, NBER Working Paper #4393, July 1993.

Indexing

"The Growth of Index Funds and the Pricing of Equity Securities," Burton G. Malkiel and Alexander Radisich; The Journal of Portfolio Management; Winter 2001.

"On Persistence in Mutual Fund Performance," Mark M. Carhart, Working paper, School of Business Administration, University of Southern California, Draft dated September 1, 1996.

"The Persistence of Risk-Adjusted Mutual Fund Performance," Edwin J. Elton, Martin J. Gruber, Christopher R. Blake, Journal of Business, 1996.

"Mutual Fund Investment Performance," William G. Droms and David A. Walker, The Quarterly Review of Economics and Finance, Vol. 36 No. 3, Fall 1996.

"Determinants of Persistence in Relative Performance of Mutual Funds," David A. Volkman and Mark E. Wohar, The Journal of Financial Research, Vol. XVIII, No. 4, Winter 1995.

"Returns from Investing in Equity Mutual Funds 1971 to 1991," Burton G. Malkiel, The Journal of Finance, Vol. L, No.2, June 1995.

"Does Historical Performance Predict Future Performance," Ronald N. Kahn and Andrew Rudd, BARRA Newsletter, Spring 1995.

"Do Winners Repeat?," William N. Goetzmann and Roger G. Ibbotson, The Journal of Portfolio Management, Winter 1994.

"A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques," Mark Grinblatt and Sheridan Titman, Journal of Financial and Quantitative Analysis, Vol. 29, No. 3, September 1994.

"The Arithmetic of Active Management," William F. Sharpe, The Financial Analyst Journal, January/February 1991.

"The Judgment of Economic Science On Rational Portfolio Management: Indexing, Timing, and Long-Horizon Effects," Paul A. Samuelson, The Journal of Portfolio Management, Fall 1989.

"The Loser’s Game," Charles D. Ellis, Financial Analyst Journal, July/August 1975.

"Challange to Judgment," Paul A. Samuelson, The Journal of Portfolio Management, Fall 1974.

"Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, May 1970.

"Capital Asset Prices: a Theory of Market Equilibrium Under Conditions of Risk," William F. Sharpe, Journal of Finance, September 1964.

"Portfolio Selection," Harry M. Markowitz, Journal of Finance, March 1952.

Survivorship Bias

"Attrition and Mutual Fund Performance, Evidence from a Survivorship-Bias Free Database," William N. Goetzmann and Stephen Brown, Working Paper, Columbia University Graduate School of Business, February 6, 1993. A study of the magnitude of survivorship bias and survival rate of funds.

"Survivorship Bias and Mutual Fund Performance," Edwin J. Elton, Martin J. Gruber and Christopher R. Blake, The Review of Financial Studies, Vol. 9, No. 4, 1996, pp. 1097-1120. An estimate of survivorship bias and the characteristics of merged and surviving funds.

"Survivorship Bias in Performance Studies," Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross, The Review of Financial Studies, Vol. 5 No. 4, 1992, pp. 553-580. An analysis of the relationship between volatility and persistence, as affected by survivorship bias.