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A Comparison of Single and Multifactor Portfolio Performance Methodologies (formerly WP #13-83)

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  • Chen, Nai-fu
  • Copeland, Thomas E.
  • Mayers, David

Abstract

A comparison of single and multifactor portfolio performance methodologies using Value Line and size-ranked portfolios indicates that although both methodologies provide unbiased estimates of portfolio performance, there are systematic differences in the power of the two methodologies. The predictive power of the multifactor methodology is superior for well-diversified portfolios but inferior for less diversified portfolios.

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  • Chen, Nai-fu & Copeland, Thomas E. & Mayers, David, 1987. "A Comparison of Single and Multifactor Portfolio Performance Methodologies (formerly WP #13-83)," University of California at Los Angeles, Anderson Graduate School of Management qt1tw5w5rs, Anderson Graduate School of Management, UCLA.
    • Handle: RePEc:cdl:anderf:qt1tw5w5rs
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    Cited by:

    1. Muhammad Usman & Danish Ahmed Siddiqui, 2019. "The Effect of Oil Price on Stock Market Returns with Moderating Effect of Foreign Direct Investment & Foreign Portfolio Investment: Evidence from Pakistan Stock Market," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 7(2), pages 45-61, June.
    2. Bing Xiang, 1993. "The Choice of Return†Generating Models and Cross†Sectional Dependence in Event Studies," Contemporary Accounting Research, John Wiley & Sons, vol. 9(2), pages 365-394, March.
    3. Allen Atkins & James Sundali, 1997. "Portfolio managers versus the darts: evidence from the Wall Street Journal's Dartboard Column," Applied Economics Letters, Taylor & Francis Journals, vol. 4(10), pages 635-637.

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