Portfolio Performance Evaluation Benchmark: A Note

  • Lei A
  • Li H
  • Wann C
 et al. 
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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

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  • Adam Y C Lei

  • Huihua Li

  • Christi Wann

  • Henrik Egbert

  • Nadeem Naqvi

  • L Brooke Conaway

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