Portfolio Performance Evaluation Benchmark: A Note

Journal of Economics and Finance Education, Vol. 14, No. 1, pp. 1-7, 2015

7 Pages Posted: 8 Sep 2014 Last revised: 2 Jun 2015

See all articles by Adam Y.C. Lei

Adam Y.C. Lei

Midwestern State University

Huihua Li

St. Cloud State University

Date Written: September 7, 2014

Abstract

Jones and Swaleheen (2014) examine the performance of an equity portfolio in a student managed investment fund and document the out-performance of the portfolio relative to the S&P 500 index on an absolute basis. We show that the apparent out-performance 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 out-performance 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.

Keywords: Student managed investment fund, performance evaluation, Bloomberg terminal

JEL Classification: G11, I22

Suggested Citation

Lei, Adam Y.C. and Li, Huihua, Portfolio Performance Evaluation Benchmark: A Note (September 7, 2014). Journal of Economics and Finance Education, Vol. 14, No. 1, pp. 1-7, 2015, Available at SSRN: https://ssrn.com/abstract=2491996

Adam Y.C. Lei (Contact Author)

Midwestern State University ( email )

3410 Taft Blvd
Wichita Falls, TX 76308
United States
(940) 397-4403 (Phone)
(940) 397-4693 (Fax)

HOME PAGE: http://www.adamyclei.com/

Huihua Li

St. Cloud State University ( email )

Saint Cloud, MN 56301
United States
(320) 308-3231 (Phone)
(320) 255-3986 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
74
Abstract Views
420
rank
345,074
PlumX Metrics