@techreport{Hunter2009Endogenous,
abstract = {This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their choices of specific stocks and industries, or vary their risk-loadings in a similar way over time. We propose a parsimonious model that uses the return on the group of mutual funds as a benchmark for each individual fund within that group. We demonstrate that this model substantially reduces the correlation between fund residuals from standard models used for equity and fixed-income funds, and improves the estimates of fund α's and β's from commonly used equity and fixed-income models.},
address = {Cologne},
author = {David Hunter and Eugene Kandel and Shmuel Kandel and Russ Wermers},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Investmentfonds; Wertpapieranalyse; Kapitalertrag; Risiko; Beta-Faktor; Korrelation; Sch\"{a}tzung; USA},
language = {eng},
number = {10-02},
publisher = {Centre for Financial Research},
title = {Endogenous benchmarks},
type = {CFR working paper},
url = {http://hdl.handle.net/10419/41364},
year = {2009}
}
