In this paper, we determine index suitability for mutual funds that specify the S&P 500 as their performance benchmark. Using a four-factor model, we calculate factor Ioadings for mutual funds and their benchmark index and measure deviations with respect to the risk factors in the model. We sort...

The Carhart four-factor model is the most widely used risk adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...

The Carhart four-factor model is the most widely used risk-adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...