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Keynes the Stock Market Investor: A Quantitative Analysis

  • David Chambers (a1), Elroy Dimson (a2) and Justin Foo (a3)


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.


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Keynes the Stock Market Investor: A Quantitative Analysis

  • David Chambers (a1), Elroy Dimson (a2) and Justin Foo (a3)


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