Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons
检验了共同基金异常业绩的衡量是否对基准选择敏感，发现不同基准（CAPM与APT）下的基金排名差异大，且所有基准均测得统计显著的异常业绩，其经济解释尚待研究。
ABSTRACT The authors' main goal in this paper is to ascertain whether conventional measures of abnormal mutual fund performance are sensitive to the benchmark chosen to measure normal performance. They employ the standard CAPM benchmarks and a variety of APT benchmarks to investigate this question. They find little similarity between the absolute and relative mutual fund rankings obtained from these alternative benchmarks, which suggests the importance of knowing the appropriate model for risk and return in this context. In addition, the rankings are not insensitive to the method used to construct the APT benchmark. Finally, they find statistically significant measured abnormal performance using all the benchmarks. The economic explanation for this phenomenon appears to be an open question.