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Benchmark Invariancy, Seasonality and APM-Free Portfolio Performance Measures

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Abstract

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.

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Authors and Affiliations

  1. Department of Finance, Concordia University, Canada

    Lawrence Kryzanowski

  2. University of Quebec at Montreal, Canada(UQAM)

    Simon Lalancette

  3. GReFi at Ecole des H.E.C, Canada

    Minh Chau To

Authors
  1. Lawrence Kryzanowski
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  2. Simon Lalancette
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  3. Minh Chau To
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Kryzanowski, L., Lalancette, S. & To, M.C. Benchmark Invariancy, Seasonality and APM-Free Portfolio Performance Measures. Review of Quantitative Finance and Accounting 10, 75–94 (1998). https://doi.org/10.1023/A:1008200314454

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  • DOI: https://doi.org/10.1023/A:1008200314454

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