title: Mutual Fund Managers: Real or Make-Belief Performance .
metadata.name: dc.contributor.author
metadata.value: Bukhvalova, Barbara A.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2017-08-20T16:10:23Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2017-08-20T16:10:23Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2017-06
metadata.lang: -
metadata.name: dc.identifier.other
metadata.value: 10.21638/11701/spbu18.2017.202
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/7065
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Alpha is a key indicator of mutual fund performance. It is equal to fund’s risk-adjusted return in excess of a benchmark index. We find that Norwegian mutual fund investors cannot always rely on alpha based on the fund-selected benchmark index, to differentiate fund quality. Many managers appear to pick benchmarks strategically and/or adjust their portfolios in a way that maximizes alpha. Our analysis sharpens previous studies of the US data, where only a few alternative benchmarks were considered based on a coarse classification of fund investment objectives and not on actual fund-selected benchmarks. The results are economically important.
  Compared to the best-fit alpha, alpha relative to the benchmark that best describes fund returns, alpha of an average equity fund appears to be 0,45% higher per year. Among equity funds that “exaggerate” their alpha, the number is 1,83%. We also find that the best-fit alpha, and not the fund’s official alpha, has a strong statistical association with fund closing decisions. Taken together, we find these results to be strong circumstantial evidence of strategic benchmark picking.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: en
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Russian Management Journal;Volume 15; Issue 2
metadata.lang: -
metadata.name: dc.subject
metadata.value: mutual funds
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: benchmarks
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: managerial incentives
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Mutual Fund Managers: Real or Make-Belief Performance .
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 02-Bukhvalova.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/7065/1/02-Bukhvalova.pdf
resources.format: Adobe PDF
resources.size: 160,34 kB