The Unfair Comparison
7 Pages Posted: 26 Mar 2012 Last revised: 10 Oct 2012
Date Written: September 19, 2012
Abstract
This paper discusses the rooms for improvement for comparison of fund manager performance with market index benchmark after considering the factors of bid ask spread, market impact, slippage, survival bias, taxation, forex spread, forced buying, cash drag, forced cash in, transaction cost, net of fee, investment mandate, and risk control.
Keywords: benchmark, market index, comparison, investment, fund performance, fund accounting, performance attribution, bid ask spread, market impact, slippage, survival bias, taxation, forex spread, forced buying, cash drag, forced cash in, transaction cost, net of fee, investment mandate
JEL Classification: M49
Suggested Citation: Suggested Citation