Jones and Swaleheen (2014, this journal) examine the performance of an equity portfolio in a student managed investment fund and document the outperformance of the portfolio relative to the S&P 500 index on an absolute basis. We show that the apparent outperformance of the portfolio is due to using the index without its dividend component. Once we use the S&P 500 total return as the benchmark, the outperformance of the equity portfolio disappears. We explain why the S&P 500 total return should be used in this case, and propose and justify two alternative proxies for the S&P 500 total return
CITATION STYLE
Lei, A. Y. C., Li, H., Wann, C., Egbert, H., Naqvi, N., Conaway, L. B., … Marion, F. (2015). Portfolio Performance Evaluation Benchmark: A Note. Journal of Economics and Finance Education, 14(1), 1–126.
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