Skip to main content

Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study

Buy Article:

$53.17 plus tax (Refund Policy)


The suitable choice of a benchmark portfolio is a critical problem prior to using the information ratio, as the performance ranking of funds depends on this choice. In this paper, a method to optimize benchmark selection taking account of the investor's preferences is proposed and applied to a case study of performance for 29 market indicators on stock exchanges throughout the world. The method that relies on recent results in optimization theory requires defining the opportunity set to select the benchmarks, this set being Footsie in the case study. The computational process and numerical results are presented through tables and figures, the accuracy of the method being also numerically tested.

Document Type: Research Article


Affiliations: Escuela Politecnica Superior de Alcoy, Plaza Ferrandiz y Carbonell, 03801 Alcoy (Alicante), Spain

Publication date: 2005-10-10

More about this publication?
  • Access Key
  • Free ContentFree content
  • Partial Free ContentPartial Free content
  • New ContentNew content
  • Open Access ContentOpen access content
  • Partial Open Access ContentPartial Open access content
  • Subscribed ContentSubscribed content
  • Partial Subscribed ContentPartial Subscribed content
  • Free Trial ContentFree trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more