A Comparison of Single and Multifactor Portfolio Performance Methodologies

Nai-Fu Chen, Thomas E. Copeland and David Mayers

Journal of Financial and Quantitative Analysis, 1987, vol. 22, issue 4, 401-417

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.

Date: 1987
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