COMPARISON OF BENCHMARKS FOR PORTFOLIO PERFORMANCE: AN EMPIRICAL ANALYSIS

In most portfolio performance studies, a reference portfolio is used to assess the performance of a portfolio manager. The choice of an appropriate reference portfolio is essential to yield a fair and unbiased evaluation of the manager. In the following analyses, category‐based benchmarks are assessed against established benchmarks to evaluate, which alternative accurately evaluates a portfolio manager's performance. The results indicate that the category‐based benchmarks are more appropriate comparison reference for evaluating the systematic risk of equity portfolios and equity security returns.