IDEAS home Printed from https://ideas.repec.org/a/taf/recsxx/v2y1999i1p97-130.html
   My bibliography  Save this article

Ranking Portfolio Performance by a Joint Means and Variances Equality Test

Author

Listed:
  • Joel Owen
  • Ramon Rabinovitch

Abstract

Vlc propose a new procedure to rank portfolio performance. Given a set of N portfolios. we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the elements of the comparison matrix into a numerical ranking. To illustrate the procedure we use a set of 133 mutual funds, including the S&PSOO index and the CRSP equal and value weighted indexes. We explore the empirical and theoretical relationships between our ranking procedure and the Treynor, Sharpe and Jensen performance measures. In general, the new procedure's ranking is relatively robust, does not allow for gaming and can be performed with small samples.

Suggested Citation

  • Joel Owen & Ramon Rabinovitch, 1999. "Ranking Portfolio Performance by a Joint Means and Variances Equality Test," Journal of Applied Economics, Taylor & Francis Journals, vol. 2(1), pages 97-130, May.
    • Handle: RePEc:taf:recsxx:v:2:y:1999:i:1:p:97-130
    DOI: 10.1080/15140326.1999.12040530
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15140326.1999.12040530
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15140326.1999.12040530?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joao Martines-Filho, 2006. "The Performance of Agricultural Market Advisory Services in Corn and Soybeans," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 162-181.
    2. Raul Susmel & Ramon Rabinovitch & Ana Silva, 2000. "Impact of Capital Controls and Transaction Costs on the Return Distribution of Dually Traded Securities: Evidence from Chile and Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 171, Universidad del CEMA.
    3. Rabinovitch, Ramon & Silva, Ana Cristina & Susmel, Raul, 2003. "Returns on ADRs and arbitrage in emerging markets," Emerging Markets Review, Elsevier, vol. 4(3), pages 225-247, September.
    4. Francis In & Sangbae Kim & Vijaya Marisetty & Robert Faff, 2008. "Analysing the performance of managed funds using the wavelet multiscaling method," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 55-70, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:recsxx:v:2:y:1999:i:1:p:97-130. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/recs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.