Online Articles and Papers


"Mutual Fund Performance"
Reprinted with permission from The Journal of Business, January, 1966
An early empirical anaysis of mutual fund performance introducing and using the measure now known as the Sharpe Ratio.

"The Parable of the Money Managers,"
Reprinted with permission from The Financial Analysts Journal, July/August 1976.
A somewhat whimsical discourse on active and passive management.

Autobiography
An autobiography prepared for the Nobel Foundation in 1990. More than you would want to know about my life to that point

"Capital Asset Prices with and without Negative Holdings,"
My Nobel lecture in 1990.  Includes a concise version of the original CAPM with extensions to cover cases in which negative holdings are not allowed.
Published in the Journal of Finance, June 1991, pp. 489-509

"The Arithmetic of Active Management,"
Reprinted with permission from The Financial Analysts Journal, January/February 1991
A more serious treatment of active and passive management.

Asset Allocation: Management Style and Performance Measurement.
Reprinted with permission from The Journal of Portfolio Management, Winter 1992.
Presents the method now generally known as Returns-based Style Analysis and shows results obtained from the analysis of U.S. mutual funds.

"Nuclear Financial Economics,"
Stanford Research Paper 1275, November 1993, subsequently published in: Risk Management: Problems & Solutions,
(
William H. Beaver and George Parker, editors), McGraw-Hill, 1995, pp. 17-35.< o:p> 
      NOTE:  This is a very large pdf file that will take a very long time to load 

The Sharpe Ratio.
Reprinted with permission from The Journal of Portfolio Management, Fall 1994.
Presents this measure of return per unit of risk and discusses its strengths and limitations.

The Styles and Performance of Large Seasoned U.S. Mutual Funds
Published on the World Wide Web, March 1995.
A study of the style and performance of 100 large, seasoned U.S. mutual funds. Tests the hypothesis that "winners repeat".

Setting the Record Straight on Style Analysis
Reprinted with permission from Dow-Jones Fee Advisor, November/December 1995.
An extensive interview with Barry Vinocur that deals with a number of questions about this technique.

Setting the Record Straight on Style Analysis (Romanian translation)
Reprinted with permission from Dow-Jones Fee Advisor, November/December 1995.
An extensive interview with Barry Vinocur that deals with a number of questions about this technique.

Financial Economists Roundtable Statment on Risk Disclosure by Mutual Funds
A statement issued in 1996 concerning risk disclosure by mutual funds.

Morningstar's Performance Measures
An empirical study of Morningstar's performance measures and alternative measures used in academic and other industry analyses. Completed in December, 1997.

Bob Boomer
A case involving an individual who must decide how to use a 401(k) plan to save and invest for his retirement.

Vanguard Interview
An interview in the Summer 1997 issue of the publication In the Vanguardon basic issues of investing.

Mutual Fund Performance Measures
"Slides" from a presentation to the Institute for Quantitative Finance, October 7, 1997

Financial Planning in Fantasyland
A paper about the deficiencies of some financial planning software. Completed in December, 1997.

Morningstar's Risk-adusted Ratings (web version)
A paper on the theoretical aspects of the measures that form the basis for Morningstar's "Star" ratings. Completed in January, 1998.

Morningstar's Risk-adusted Ratings (published version)
A link to a .pdf file of this paper, published in the July/August 1998 issue of the Financial Analysts Journal, pp. 21-33.

Revisiting the Capital Asset Pricing Model
Reprinted with permission from Dow Jones Asset Management, May/June 1998.
An interview with Jonathan Burton that deals with a number of issues about the CAPM, factor models, and more.

Investors Need Quality Low-Cost Advice: A Conversation with Financial Engines' William Sharpe
An interview for the Mutual Fund Cafe' website with Virginia Munger Kahn on Financial Engines' approach to investment advice

The Journal Interview
An interview on performance measurement, from the Journal of Performance Measurement, Winter 1998/1999

The Distribution Builder: A Tool for Inferring Investor Preferences
A paper (with Daniel G. Goldstein and Philip W. Blyth) on a method for inferring an investor's preferences, September 2000

Individual Risk and Return Preferences: A Preliminary Survey
A paper describing the results obtained in a survey using the Distribution Builder aproach of Sharpe, Goldstein and Blyth, Sepember 2001
Also available: a slide presentation based on the paper

Budgeting and Monitoring the Risk of Defined Benefit Pension Funds
A draft of a paper on the ways in which mean/variance based risk management tools can be used by those responsible for defined benefit pension funds, September 2001

Indexed Investing: A Prosaic Way to Beat the Average Investor
A talk on indexed investing, May, 2002

Investment Strategy
An article in the UBS Wealth management magazine, 2nd quarter 2004, on the application of modern investment theory

Investment Adviser (UK) Interview
An article in the Dec. 6, 2004 issue of the magazineInvestment Adviser, published by the Financial Times. Almost a verbatim transcript, not a polished piece.

Equilibrium Simulation
Slides from a presentation given at the Institute for Quantitative Research in Finance in October, 2006

Advisor Perspectives Interview
An article in the October 2007 issue of the online service, Advisor Perspectives.

L'Agefi Interview
An article (in French) in the December 14, 2007 issue of L'Agefi (Le Quotidien Suisse de la Finance et de L:Economie)

Index Universe Interview
An interview with Heather Bell about diverse subjects, including index funds, asset allocation, fundamental indices, ETFs and retirement savings

Expected Utility Asset Allocation
Procedures for optimization and reverse optimization analysis in asset allocation studies. Assumes that investors wish to maximize expected utility, does not require that investors care only about the mean and variance of portfolio return and allows for general distributions of asset returns. Draft of a paper published in 2007 in the Financial Analysts' Journal