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

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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Year of publication:	1987-02-01
Authors:	Chen, Nai-fu ; Copeland, Thomas E. ; Mayers, David
Institutions:	Anderson Graduate School of Management, University of California-Los Angeles (UCLA)

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Extent:	application/pdf
Series:	University of California at Los Angeles, Anderson Graduate School of Management.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010535975