On the Use of Multifactor Models to Evaluate Mutual Fund Performance
指出多因子模型评价共同基金业绩存在系统性偏差，原因是因子溢价计算错误，并提出基于共同基金回报而非股票回报的因子代理能更好评估专业基金经理。
We show that multifactor performance estimates for mutual funds suffer from systematic biases and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over‐ or underestimated. We argue that factor proxies based on mutual fund returns rather than on stock returns provide better benchmarks to evaluate professional money managers.