COMPARISON OF BENCHMARKS FOR PORTFOLIO PERFORMANCE: AN EMPIRICAL ANALYSIS

Abstract

In most portfolio performance studies, a reference portfolio is used to assess the performance of a portfolio manager. The choice of an appropriate reference portfolio is essential to yield a fair and unbiased evaluation of the manager. In the following analyses, category‐based benchmarks are assessed against established benchmarks to evaluate, which alternative accurately evaluates a portfolio manager's performance. The results indicate that the category‐based benchmarks are more appropriate comparison reference for evaluating the systematic risk of equity portfolios and equity security returns.

Citation

AULERICH, J.R. (2004), "COMPARISON OF BENCHMARKS FOR PORTFOLIO PERFORMANCE: AN EMPIRICAL ANALYSIS", Studies in Economics and Finance, Vol. 22 No. 1, pp. 92-114. https://doi.org/10.1108/eb043384