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A Comparison of Single and Multifactor Portfolio Performance Methodologies

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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.

Suggested Citation

  • Chen, Nai-Fu & Copeland, Thomas E. & Mayers, David, 1987. "A Comparison of Single and Multifactor Portfolio Performance Methodologies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 401-417, December.
    • Handle: RePEc:cup:jfinqa:v:22:y:1987:i:04:p:401-417_01
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    Cited by:

    1. 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.
    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. Gallo, John G. & Swanson, Peggy E., 1996. "Comparative measures of performance for U.S.-based international equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1635-1650, December.
    4. 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.
    5. Christian Walter, 2005. "Performance Concentration [La concentration de la performance]," Post-Print hal-04567931, HAL.

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