Data and Code for "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices"

We construct a time-series of total assets associated with prospectus primary benchmarks and with Morningstar categories using the Open-end Mutual Funds Database obtained form Morningstar Direct. Our sample includes all US actively managed equity mutual funds from March 1980 to May 2021.

For each fund in every month of the sample we collect data on the total assets across all share classes, the primary prospectus benchmark, the FTSE-Russell benchmark (assigned by Morningstar), and the Morningstar category. Based on the Morningstar category, we group funds into three categories: cap-style, industry-sector, and international. For each of the nine cap-style segments, we aggregate fund benchmarks from six leading index providers (CRSP, Dow Jones, Morningstar, MSCI, Russell, and Standard & Poor’s).