Benchmark Discrepancies and Mutual Fund Performance Evaluation

We introduce a new holdings-based procedure to identify whether a mutual fund has a benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark best matching a fund's investment strategy. We find that funds with a benchmark discrepancy tend to be riskier than their prospectus benchmarks indicate. As a result, the funds on average outperform their prospectus benchmarks—before further risk-adjusting—despite underperforming the benchmarks that best match their portfolios

MoreLess

Year of publication:	2020
Authors:	Cremers, Martijn
Other Persons:	Fulkerson, Jon A. (contributor) ; Riley, Timothy B. (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Investmentfonds \| Investment Fund \| Benchmarking \| Portfolio-Management \| Portfolio selection \| Aktienfonds \| Equity fund \| Risiko-Ertrags-Verhältnis \| Risk-return tradeoff

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012852364