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 prospectus benchmarks indicate. As a result, the funds on average outperform their prospectus benchmarks, before further risk adjustments, despite underperforming the benchmarks that best match their portfolios.

中文翻译：

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基准差异和共同基金绩效评估

我们引入了一种新的基于持股的程序来确定共同基金是否存在基准差异，我们将其定义为与基金投资策略最匹配的招股说明书基准以外的基准。我们发现具有基准差异的基金往往比其招股说明书基准所显示的风险更大。因此，在进一步风险调整之前，这些基金的平均表现优于其招股说明书基准，尽管其表现低于与其投资组合最匹配的基准。