Should Benchmark Indices Have Alpha? Revisiting Performance

By Martijn Cremers, Antti Petajisto, Eric Zitzewitz. 2010

333 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6ae88afcac2065de2dcb92702499963a46e34bbe

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Citations in the corpus

On the Economic Consequences of Index-Linked Investing (2010, neutral): “This returns-chasing feedback loop could be much of the story behind the S&P membership premium and the positive index alphas in Cremers et al. (2010). Index membership also affects high-frequency risks, and may encourage trading”
Asset allocation and portfolio performance: Evidence from university endowment funds (2010, result): “The reason is that for the period of our study, the Russell 3000 slightly underperforms relative to the Fama–French model (see also Cremers et al., 2008).”
Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016, neutral): “Del Guercio and Reuter (2013) document that broker-sold mutual funds, which tend to have a less sophisticated investors clientele, experience flows that are more responsive to a fund’s market-adjusted return than to its four-factor alpha.”
Do Funds Make More When They Trade More (2016, neutral): “Cremers, Petajisto, and Zitzewitz (2013) argue that the Fama-French model produces biased assessments of fund performance, and they recommend using index-based benchmarks instead.”
How Active is Your Fund Manager? A New Measure That Predicts Performance (2009, neutral): “Instead, these numbers suggest a misspeci cation in the four-factor model (see Cremers, Petajisto, and Zitzewitz (2008) for a detailed analysis).”
Stakeholder relations and stock returns: On errors in investors' expectations and learning (2013, background): “…puts prices on risks that are overlooked by models that researchers use to determine expected returns (see, e.g., Fama and French (1993) and Carhart (1997)), the result of data snooping (Lo and MacKinlay (1990)) and inadequate benchmark factor construction (Cremers, Petajisto, and Zitzewitz 2010).”
Scale and Skill in Active Management (2014, background): “See, for example, Jensen (1968), Ferson and Schadt (1996), Carhart (1997), Daniel et al. (1997), Wermers (2000), Pástor and Stambaugh (2002), Cohen, Coval, and Pástor (2005), Kacperczyk, Sialm, and Zheng (2005, 2008), Kosowski et al.”