The Jobson-Korkie (1981) Z score and the positive period weighting (PPW) score of Grinblatt and Titman (1989) are applied to various benchmarks of market and mimicking portfolios to study the benchmark invariancy problem. Significantly different portfolio performance inferences are found for a sample of 146 equity mutual funds depending on the mean-variance efficiency of the portfolio benchmarks (mimicking portfolios versus market indices). Portfolio performance inferences are affected significantly by the number of factors, nonsynchronous trading adjustment, and the sizes of the firms used for factor extraction. The returns of the portfolio benchmarks exhibit significant monthly seasonalities, which, in turn, significantly influence mutual fund performance inferences.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Oct 6, 2004
It’s your single place to instantly
discover and read the research
that matters to you.
Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.
All for just $49/month
Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly
Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.
All the latest content is available, no embargo periods.
“Whoa! It’s like Spotify but for academic articles.”@Phil_Robichaud