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Self-declared benchmarks of equity mutual funds: an evaluation of suitability and value added
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Resumo(s)
This paper analyses whether actively managed equity mutual funds have suitable primary self declared prospectus benchmarks and evaluates how much value funds add compared to their
declared benchmarks from 2010 to 2021. Suitable self-declared benchmarks allow investors to
adequately evaluate relative fund performance. Using panel data collected from the CRSP
database and SEC filings, four independent time periods are analysed. The findings of this paper
indicate that most funds choose suitable benchmarks and that funds mostly do not add value
compared to their declared benchmarks. Moreover, a noteworthy observation is that the results
of the analysis appear to be analysis period dependent.
Descrição
Palavras-chave
Mutual funds Benchmark suitability Self-declared benchmark mismatch Value added