Benchmark Discrepancies and Mutual Fund Performance Evaluation
提出一种基于持仓的新方法识别共同基金的基准差异，发现存在基准差异的基金实际风险高于其说明书基准所示，导致其在未进一步风险调整前跑赢说明书基准。
Abstract 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 adjustments, despite underperforming the benchmarks that best match their portfolios.