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Keynes the Stock Market Investor: A Quantitative Analysis

Published online by Cambridge University Press:  06 October 2015

David Chambers
Affiliation:, University of Cambridge, Judge Business School, Cambridge CB2 1AG, United Kingdom
Elroy Dimson*
Affiliation:, University of Cambridge, Judge Business School, Cambridge CB2 1AG, United Kingdom, and London Business School.
Justin Foo
Affiliation:, University of Cambridge, Judge Business School, Cambridge CB2 1AG, United Kingdom
*Corresponding author:


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.

Research Articles
Copyright © Michael G. Foster School of Business, University of Washington 2015 

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