search query: @author Chen, N. F. / total: 4
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| Author: | Chen, N. F. Copeland, T. E. Mayers, D. |
| Title: | A comparison of single and multifactor portfolio performance methodologies. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : DEC, VOL. 22:4, p. 401-417 |
| Index terms: | PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | Comparing single and multifactor portfolio performance methodologies using Value Line and size-ranked portfolios, it turns out that although both methodologies yield unbiased estimates of portfolio performance, there are systematic differences in their power. The predictive power of the multifactor methodology is superior for well- diversified portfolios but inferior for less diversified portfolios. |
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