Mutual Fund Selection

"The title of the book by Moshe Levy and Richard Roll is very apt indeed: Mutual Fund Selection: From Theory to Practice. It describes and analyzes the key measures that have been proposed to evaluate mutual fund performance, considers their usefulness for predicting future performance over long and short horizons and introduces a new measure -- the Shrinkage-adjusted Sharpe Ratio -- that may provide better predictions than the historic Sharpe Ratio. The book well describes previous theory and offers a new approach for those concerned with future performance. I found the book to be excellent and learned much from it."

-William F. Sharpe, STANCO 25 Professor of Finance, Emeritus, Graduate School of Business, Stanford University; Recipient of the Nobel Memorial Prize in Economic Sciences

"Authored by two seasoned veterans of the data-rich world of financial research, this book should be required reading for anyone who invests in, manages, or markets mutual funds. We all stand to improve our investment processes by adopting the metrics they propose."

-Andrew W. Lo, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management

Moshe (Shiki) Levy is the John Berg professor of finance at the Hebrew University Business School. His research interests include portfolio theory, decision-making under uncertainty, the evolution of preferences, social networks, social phase transitions, and econophysics. He is the recipient of the Journal of Investment Management Harry Markowitz award.

Richard Roll was most recently the Linde professor of Finance at the California Institute of Technology. He is also a professor emeritus at UCLA where he held the Joel Fried Chair at the Anderson School. He was a principal of Compensation Valuation and a board member of Western Asset Mortgage Capital Corp. He worked on the Minuteman missile and the Saturn moon rocket at the Boeing Corporation and founded mortgage securities research at Goldman Sachs. He is a founder of Roll and Ross Asset Management and has consulted for many US corporations, law firms, and government agencies. Roll has a BA in aeronautical engineering from Auburn University, an MBA from the University of Washington, and a PhD from the University of Chicago.