We rst construct Pan-European size, book-to-market, and momentum risk factors for stocks. Then, we report on the average performance of European mutual funds over our time period using these benchmarks. Our ndings are similar to those of many studies of . mutual funds (., Carhart, 1997 and Wermers, 2000). Specically, the median one-factor and four-factor alphas are and , respectively. This nding indicates that our benchmarks successfully control for common variation in European equity mutual fund returns
