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1 results

  • Keynes the Stock Market Investor: A Quantitative Analysis

  • David Chambers, Elroy Dimson, Justin Foo
  • Journal:
    Journal of Financial and Quantitative Analysis / Volume 50 / Issue 4 / August 2015
    Published online by Cambridge University Press:
    06 October 2015, pp. 843-868
    Print publication:
    August 2015

  • The consensus view of the influential economist John Maynard Keynes is that he was a stellar investor. We provide an extensive quantitative appraisal of his performance over a quarter century and present detailed analysis of his archived trading records. His top-down approach initially generated disappointing returns with no evidence of any market-timing ability. However, from the early 1930s his performance improved as he evolved into a bottom-up stock picker with substantial active risk and pronounced size and value tilts. Our reconstruction of Keynes’s stock trading provides a unique record of realized performance and sheds light on how equity investing developed historically.