A Comparison of Single and Multifactor Portfolio Performance Methodologies
- 1 December 1987
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 22 (4) , 401
- https://doi.org/10.2307/2330792
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.Keywords
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