Do Benchmarks Matter? Do Measures Matter? A Study of Monthly Mutual Fund Returns

This paper empirically examines the extent to which some of the different performance measures developed in the literature provide different evaluations of performance. It also examines how robust these performance scores are to the vhoice of benchmark portfolio. An analysis of 109 passive portfolios and 279 mutual funds finds that the measures generally yeild similar inferences when using the same benchmark and that inferences can vary, even from the same measure, when using diffferent benchmarks.