How Consistent Are the Judges of Portfolio Performance?

Matthew Brigida (matthew.brigida@sunyit.edu), Chin W. Yang (yang@clarion.edu) and Ken Hung (ken.hung@tamiu.edu)
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Matthew Brigida: SUNY Polytechnic Institute
Chin W. Yang: Clarion University of Pennsylvania
Ken Hung: Texas A&M International University

Chapter 107 in Encyclopedia of Finance, 2022, pp 2627-2631 from Springer

Abstract: Abstract This analysis tests whether the rank ordering of a set of portfolios, with varying number of assets, differs depending on the performance measure used. To test this hypothesis, we construct a Friedman test over 4950 portfolios (50 portfolios for each portfolios sizes 2–100) of S&P 500 stocks. We find that while measures may differ in their sensitivity to portfolio size, all measures consistently prefer larger portfolios. Therefore, the rank ordering of a set of portfolios of various sizes is consistent across performance measures.

Keywords: Portfolio theory; Portfolio performance evaluation (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-91231-4_110

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DOI: 10.1007/978-3-030-91231-4_110

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