RT Journal Article
SR Electronic
T1 Compared to What? A Debate on Picking Benchmarks
JF The Journal of Investing
FD Institutional Investor Journals
SP 66
OP 72
DO 10.3905/joi.2001.319488
VO 10
IS 4
A1 Susan Belden
A1 M. Barton Waring
YR 2001
UL https://pm-research.com/content/10/4/66.abstract
AB To evaluate the success or failure of active funds, we need to select benchmarks. Susan Belden of Skidmore College and M. Barton Waring of BGI hold a debate in writing over whether a benchmark should be based on a broadly accepted market benchmark, such as the S&P 500, or a narrowly defined benchmark, based on the investing style of the fund. He finds that the analyst is able to explain over 90% of price movements not traceable to publicly available information, which is consistent with a high degree of market knowledge. A significant proportion of these price changes are attributable to factors unrelated to information per se, providing support for the hypothesis that a significant proportion of company price changes are triggered by events relating to fads, fashion, or sentiment.