This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives...

This article examines the risk and return characteristics of U.S. mutual funds. We employ an equilibrium version of the Arbitrage Pricing Theory (APT) and a principal-components-based statistical technique to identify performance benchmarks. We also consider the Capital Asset Pricing Model...

In this study, I investigate the performance of five categories of U.S. domestic equity mutual funds during the recessions of 1990 and 2001 and during the 12 months following each recession. I show that recessions identified by the National Bureau of Economic Research (NBER) are not all the same...

This article examines the performance persistence of 12083 open-end funds over the period January 2010 to January 2020. We used a sample free of survivorship bias and measure performance using risk adjusted measures. Nineteen out of the forty-three categories showed high values of the Treynor,...