Revisiting mutual fund performance evaluation

► Mutual fund's performance should be measured relative to its self-designated benchmark. ► Deviations should be interpreted as efforts to improve relative performance. ► Alphas and betas are by construction different from those obtained through standard approaches. ► Ignoring the self-designated benchmarks puts some types of funds at a disadvantage vis a vis their peers. ► Funds that simply track the sensitivities of their benchmark to systematic risks may be misclassified.