Hunter, David; Kandel, Eugene; Kandel, Shmuel; Wermers, Russ - In: Journal of Financial Economics 112 (2014) 1, pp. 1-29
We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category...