We analyze changes to mutual funds’ self-declared benchmarks using hand-collected data from funds’ prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their past performance. Funds exploit this loophole by adding (dropping) indexes with lower (higher) past returns, thereby materially improving the appearance of their benchmarkadjusted returns. High-fee funds, broker-sold funds, and funds experiencing poor performance and outflows are more likely to engage in this behavior. These funds subsequently attract additional flows despite continuing to underperform their peers. (JEL G11, G14, G20, G23, G50, G53)

中文翻译：

---

移动球门柱？共同基金基准变化和相对表现操纵


我们使用从基金招股说明书中手工收集的数据来分析共同基金自我声明的基准的变化。根据现有规则，基金可以自由更改其基准指数，并隐含地更改它们比较过去表现的历史回报。基金通过增加（下降）过去回报率较低（较高）的指数来利用这一漏洞，从而显着改善其基准调整后回报的外观。高费用基金、经纪人出售的基金以及表现不佳和资金流出的基金更有可能参与这种行为。尽管这些基金的表现继续落后于同行，但随后吸引了额外的资金流入。（JEL G11、G14、G20、G23、G50、G53）