                          921

  .     ( -
) ,      -0,34 (-1,29/3,75).  
       ( -
    )   . ,  
       
   ,   . .: Jack I. Treynor and Ficher
Black, How to Use Security Analysis to Improve Portfolio Selection, Journal of Business,
46, no. 1 (January 1973), pp. 66-86.

7      ,    -
        .
 ,       . -
    -,.

*       ,  
    : Jack L. Treynor, How to Rate Management of Investment
Funds, Harvard Business Review, 43, no. 1 (January/February, 1965), pp. 6375.

9       ,  
    : William F. Sharpe, Mutual Fund Performance, Journal of Business,
39, no. 1 (January 1966), pp. 119138.  . 22 ,   
Morningslar, Inc.     .

111      ,   -
 CML.  ,   -,
 ,        -
   CML.       -
,       (    )  
  ( CML   SML).

"      -  , 
RVOL^ ,    ,    ,  RVAR 
 ,    ,  .   , 
,    ,    -
  .

12    ( ,      )   -
   .   ,  ,  -
    ,     .  -
      , -
   . , . . 11  12 : James . McClave and /George Benson,
Statistics for Business and Economics, 5th ed. (San Francisco: Dellen Publishing, 1991).

13 . Richard Roll, Ambiguity When Performance Is Measured by the Security Market Line,
Journal of Finance, 33, no. 4 (September 1978), pp. 1051-1069; David Peterson and Michael L.
Rice, A Note on Ambiguity in Portfolio Performance Measures, Journal of Finance, 35,
no. 5 (December 1980), pp. 12511256; and Heinz Zimmermann and Claudia Zogg-Wetter,
On Detecting Selection and Timing Ability: The Case of Stock Market Indexes, Financial
Analysis Journal, 48, no. 1 (January/February 1992), pp. 8083.

14    ,      , -
     ,    ,  
        -
 ,      ,    
      .

15        (  . 21)

     .
"' . Dan W. French and Glenn V. Henderson Jr., How Well Does Performance Evaluation

Perform?, Journal of Portfolio Management, 11, no. 2 (Winter 1985), pp. 15-18.