While no two mutual funds are alike in terms of their mandates and constraints, metrics used to evaluate fund performance relative to peers typically fail to account for these differences by relying on generic benchmark indices and rankings. We develop a methodology to construct a conditional multi-factor benchmark that explicitly incorporates the details of a given fund’s mandates and constraints. The results suggest that (i) mandates and constraints are economically important and affect funds differently, (ii) in general, the average mutual fund has a much improved track record when comparing themselves to a bespoke benchmark, and (iii) the rank ordering of fund bespoke performance relative peers is significantly different than the original rank ordering suggesting advisors and board of directors would make better decisions regarding compensation and performance assessment respectively, if they incorporate the impact of mandates and constraints.

尽管没有两个共同基金在授权和约束方面有相似之处，但用于评估相对于同行的基金绩效的指标通常无法依靠通用基准指数和排名来解决这些差异。我们开发了一种方法来构建有条件的多因素基准，该基准明确包含了给定基金任务授权和约束的详细信息。结果表明，（i）任务授权和约束条件在经济上很重要，并且对基金的影响也不同；（ii）一般而言，与共同制定的基准相比，普通共同基金的往绩大大提高，