Cheng, Tingting and Yan, Cheng and Yan, Yayi (2023) De facto time‐varying indices‐based benchmarks for mutual fund returns. Journal of Financial Research, 46 (2). pp. 469-496. DOI https://doi.org/10.1111/jfir.12318
Cheng, Tingting and Yan, Cheng and Yan, Yayi (2023) De facto time‐varying indices‐based benchmarks for mutual fund returns. Journal of Financial Research, 46 (2). pp. 469-496. DOI https://doi.org/10.1111/jfir.12318
Cheng, Tingting and Yan, Cheng and Yan, Yayi (2023) De facto time‐varying indices‐based benchmarks for mutual fund returns. Journal of Financial Research, 46 (2). pp. 469-496. DOI https://doi.org/10.1111/jfir.12318
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.
Item Type: | Article |
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Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 09 Feb 2023 21:03 |
Last Modified: | 16 May 2024 21:41 |
URI: | http://repository.essex.ac.uk/id/eprint/34743 |
Available files
Filename: JFR-08-21-0892_Yan_BB_Author.pdf
Embargo Date: 26 January 2025