Allen,Brailsford,Faff and Soucik (2005)compare performance measurement models across nine benchmark definitions using a large sample of Australian equity funds.

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Allen,Brailsford,Faff and Soucik (2005)compare performance measurement models across nine benchmark definitions using a large sample of Australian equity funds.Their research establishes three findings.First,they find that the selection of a benchmark can make the difference between a conclusion of overperformance or underperformance.Second,in examining each benchmark against a set of naïve portfolios,their findings suggest a general bias towards overperformance (i.e overestimation of excess returns),with a benchmark comprising multiple assets exhibiting the least amount of bias.Third,they separate excess returns into timing and selectivity components,but find little evidence of consistent superior performance.

Allen,Brailsford,Faff and Soucik (2005)compare Performance Measurement Models Across Nine Benchmark