The Sustainability of Investment Decision Making

This paper develops and tests a new multi-attribute, behavioral based measure of mutual fund performance, at the portfolio decision-making rather than trade level, using alpha score, hit rate win-loss ratio. These measures are then combined to develop multi-attribute “efficiency”; author decomposes this into technical, scale, mix efficiency scores separately for overweight underweight positions. The finds that variations in average technical related ratios (hit rates) relatively (underweight) positions statistically significant. findings suggest sustainability investment performance is evidenced from win-to-loss ways not exhibited by measure.