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How Consistent Are the Judges of Portfolio Performance?

In: Encyclopedia of Finance

Author

Listed:
  • Matthew Brigida

    (SUNY Polytechnic Institute)

  • Chin W. Yang

    (Clarion University of Pennsylvania
    National Chung Cheng University)

  • Ken Hung

    (Texas A&M International University)

Abstract

This analysis tests whether the rank ordering of a set of portfolios, with varying number of assets, differs depending on the performance measure used. To test this hypothesis, we construct a Friedman test over 4950 portfolios (50 portfolios for each portfolios sizes 2–100) of S&P 500 stocks. We find that while measures may differ in their sensitivity to portfolio size, all measures consistently prefer larger portfolios. Therefore, the rank ordering of a set of portfolios of various sizes is consistent across performance measures.

Suggested Citation

  • Matthew Brigida & Chin W. Yang & Ken Hung, 2022. "How Consistent Are the Judges of Portfolio Performance?," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 107, pages 2627-2631, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_110
    DOI: 10.1007/978-3-030-91231-4_110
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    More about this item

    Keywords

    Portfolio theory; Portfolio performance evaluation;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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