The statistical significance of portfolio returns

摘要

At the time of this writing, stock markets around the world are plunging. The U.S. market is down some 40-50%. Nonetheless, the year-to-date return (as of October 2008) on a portfolio of high customer satisfaction companies, a portfolio first described in Fornell, Mithas, Morgeson and Krishnan (2006), hovers around zero. Over the past 8 years (from June 2000-June 2008), the portfolio generated an average annual return of +25.5% (or 15.1% annualized), compared with - 0.5% for the S&P 500. At first glance, therefore, it may seem surprising that O'Sullivan, Hutchinson, and O'Connell (2009) do not find a significant alpha.