Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry

By Berk A. Sensoy. 2009

297 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ba9ca612db4d5d9d1a8841c2b7290af2a3a36194

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Citations in the corpus

Behavioral Biases of Mutual Fund Investors (2011, unknown): “Mutual fund inflows are attracted to seemingly high performance assessed against benchmarks that funds specify but which do not match fund styles (Sensoy (2009)). analysis to the correlation structure of our investor characteristics reveals interesting overlaps among biases and other…”
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2011, background): “As mentioned earlier, Sensoy (2009) reported that almost all actively managed U.S. equity mutual funds are benchmarked to an S&P or Russell index.”
Mutual Fund Performance and Flows during the COVID-19 Crisis (2020, unknown): “The prospectus benchmark is chosen by the fund itself (with some potential for strategic choice, as discussed by Sensoy, 2009), whereas the FTSE/Russell benchmark is assigned to each fund by Morningstar based on the fund’s holdings.”
On the Economic Consequences of Index-Linked Investing (2010, unknown): “There is no practical way to redeploy the trillions of dollars now indexed in a way that reduces their economic 22 Sensoy (2009) finds that mutual fund flows are sensitive to performance relative to inappropriate benchmarks. consequences.”
Portfolio Manager Compensation in the U.S. Mutual Fund Industry (2019, background): “Since Morningstar assigns categories based on funds’ holdings instead of the objectives reported in the prospectus, this benchmark does not suffer from the cherry-picking bias documented in Sensoy (2009).”
Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016, unknown): “Sensoy (2009) documents that one-third of the actively managed U.S. equity mutual funds specify a benchmark index in the fund prospectus that does not match the fund’s actual style. Moreover, he documents that fund flows respond to these mismatched benchmarks. Cooper, Gulen, and Rau (2005) document ”
Trading Costs of Asset Pricing Anomalies (2012, unknown): “However, both the daily and intra-daily data provide estimates of transactions costs for the average trader, which reflects the aggregated volume of a variety of traders with different intentions, objectives, and information. Our unique trade data reflects the trading costs of a single arbitrageur, ”
Mutual Fund Competition, Managerial Skill, and Alpha Persistence (2018, background): “For instance, if a fund tries to game its style (Sensoy (2009)), or becomes conservative to lock in early gains (Brown, Harlow, and Starks (1996)), then its closest competitors might change. We allow for this possibility. Finally, the sets of rivals are intransitive. If fund A is a competitor of fun”