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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

Yuen, Raymond Wai Pong, The Unfair Comparison (September 19, 2012). Available at SSRN: https://ssrn.com/abstract=1998131 or http://dx.doi.org/10.2139/ssrn.1998131

Raymond Wai Pong Yuen (Contact Author)

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