Performance regressions lever expected benchmark returns linearly to the risk exposures of the fund. The interest rate (IR) risk premium, however, usually follows a decreasingly upward-sloping yield curve, characterizing the nonlinearity between expected return and IR risk exposure—for example, maturity or duration. If the exposures of the fund and the benchmark differ, this discrepancy causes alpha to deviate from the active bond selection performance it is supposed to measure. Performance ratings and investor flows are affected by this alpha deviation. Our simple remedy is to individually match funds and benchmarks using their durations. Beta and R² are candidates for alternative matchings.

绩效回归杠杆可将预期基准回报率线性调整为基金的风险敞口。但是，利率（IR）风险溢价通常遵循逐渐下降的收益率曲线，这表征了预期收益与IR风险敞口之间的非线性关系（例如，期限或期限）。如果基金的风险敞口和基准的风险敞口不同，则该差异会导致Alpha偏离其应衡量的活跃债券选择表现。绩效评级和投资者流受此alpha偏差的影响。我们的简单补救方法是使用期限来分别匹配基金和基准。Beta和R ²是替代匹配的候选对象。