We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Are mutual fund managers selecting the right benchmark index?
- Authors
Costa, Bruce A.; Jako, Keith
- Abstract
In this paper, we determine index suitability for mutual funds that specify the S&P 500 as their performance benchmark. Using a four-factor model, we calculate factor Ioadings for mutual funds and their benchmark index and measure deviations with respect to the risk factors in the model. We sort the funds into growth and value subsets. By comparing each fund with the appropriate growth or value index, we show that the inferences regarding abnormal fund performance change dramatically. Our results indicate that fine tuning of abnormal performance measurement can significantly alter inferences regarding the fund manager's contribution to mutual fund performance. Using this methodology, investors and academics can more accurately assess mutual fund manager performance relative to an appropriate benchmark, regardless of the target index selected by the management of the mutual fund.
- Publication
Financial Services Review, 2011, Vol 20, Issue 2, p129
- ISSN
1057-0810
- Publication type
Academic Journal