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A Comparison of Single and Multifactor Portfolio Performance Methodologies

Published online by Cambridge University Press:  06 April 2009

Nai-Fu Chen,
Thomas E. Copeland and
David Mayers
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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.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 4 , December 1987, pp. 401 - 417
Copyright
Copyright © School of Business Administration, University of Washington 1987

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