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- W2009056987 abstract "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 funds, which we call an Active Peer Benchmark, or APB. We find that APBs substantially reduce the average time-series correlation of residuals between individual funds within a group when added to a four-factor equity model (or to a seven-factor xed-income model). Importantly, adding this APB signifi cantly improves the selection of funds with future outperformance." @default.
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- W2009056987 date "2011-01-01" @default.
- W2009056987 modified "2023-10-16" @default.
- W2009056987 title "Endogenous Benchmarks" @default.
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- W2009056987 doi "https://doi.org/10.2139/ssrn.1344140" @default.
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