De facto time‐varying indices‐based benchmarks for mutual fund returns
质疑固定指数作为基金基准的做法，提出一种体制转换方法从市场指数池中识别时变的事实基准，能更好捕捉基金风格、改善显著阿尔法的识别和样本外预测。
Abstract We question time‐invariant indices as fund benchmarks and propose a regime‐switching methodology to identify time‐varying de facto benchmarks from a pool of market‐based indices, with or without a risk‐free asset. To ameliorate the benchmark mismatch issue, we highlight the importance of using time‐varying indices‐based benchmarks for fund performance evaluation. Our de facto benchmark captures fund styles better than other benchmark choices, substantially improves the identification of significant fund alphas, and provides better out‐of‐sample forecasts. We uncover several new findings in terms of fund performance evaluation using our de facto benchmarks.