A Comparison of Single and Multifactor Portfolio Performance Methodologies
比较了单因子与多因子投资组合绩效方法，发现两者估计无偏但预测能力有系统差异：多因子方法对分散化组合更优，对低分散化组合更差。
A comparison of single and multifactor portfolio performance methodologies using Value Line and size-ranked portfolios indicates that although both methodologies provide unbi? ased estimates of portfolio performance, there are systematic differences in the power of the two methodologies. The predictive power of the multifactor methodology is superior for well-diversified portfolios but inferior for less diversified portfolios.