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
Date Written: September 7, 2014
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: Suggested Citation