Benchmark Invariancy, Seasonality and APM-Free Portfolio Performance Measures

Benchmark Invariancy, Seasonality and APM-Free Portfolio Performance Measures 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

Benchmark Invariancy, Seasonality and APM-Free Portfolio Performance Measures

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Kluwer Academic Publishers
Copyright © 1998 by Kluwer Academic Publishers
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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