Recent studies link mutual fund performance to measures of active management, and this evidence often takes the form of large spreads in unconditional alphas for characteristic-sorted portfolios. Unconditional benchmarks can, however, produce misleading inferences on managerial skill for...

The Carhart four-factor model is the most widely used risk adjusted performance metric for mutual fund returns. Recent papers find the four-factor model generates significant alphas and factor loadings for unmanaged stock market indexes. In this paper, we introduce a new methodology to eliminate...

We introduce a new holdings-based procedure to identify whether a mutual fund has a benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark best matching a fund's investment strategy. We find that funds with a benchmark discrepancy tend to be riskier than their...