本論文探討美國主動型 ETF 市場中的指標錯配與基金流量。本文檢驗主動型 ETF 的自我指定指標是否符合其實際報酬行為，並進一步分析指標錯配是否影響後續基金流量。本文以 ETF 報酬對候選指標報酬進行時間序列迴歸所得之 R² 作為指標錯配的判定基礎；若 ETF 自我指定指標的 R² 未落於所有候選指標配適結果的前 5%，則該基金被分類為指標錯配基金。在 350 檔具有可辨識指標且具備足夠月資料的主動型 ETF 中，共有 136 檔被分類為指標錯配基金。實證結果顯示，在全樣本中，指標錯配本身並未對後續基金流量產生統計上顯著的直接影響，指標錯配亦未在整體主動型 ETF 樣本中明顯強化基金流量對績效之敏感度。然而，在指標錯配基金子樣本中，基金相對於錯配之自我指定指標的績效仍具有重要性，當錯配基金打敗其自我指定指標時，下一期基金流量會顯著增加，即使控制基金相對修正後指標的績效後，結果仍然成立。此結果顯示，即使基金揭露的指標未完全符合其實際報酬行為，投資人仍可能依賴該指標來評估主動型 ETF 的績效。

This study examines benchmark mismatch and fund flows in the U.S. active ETF market. It investigates whether the self-designated benchmarks of active ETFs are consistent with their actual return behavior, and whether benchmark mismatch affects subsequent fund flows. Benchmark mismatch is identified using the R² from time-series regressions of ETF returns on candidate benchmark returns. If the R² of an ETF’s self-designated benchmark does not fall within the top 5% of all candidate benchmark fits, the fund is classified as benchmark-mismatched. Among 350 active ETFs with identifiable benchmarks and sufficient monthly observations, 136 funds are classified as benchmark-mismatched. The empirical results show that, in the full sample, benchmark mismatch itself does not have a statistically significant direct effect on subsequent fund flows, nor does it meaningfully strengthen flow-performance sensitivity in the overall active ETF sample. Within the benchmark-mismatched fund subsample, however, performance relative to the mismatched self-designated benchmark remains important. When benchmark-mismatched funds outperform their self-designated benchmarks, next-period fund flows increase significantly, and this result continues to hold after controlling for performance relative to the corrected benchmark. These findings suggest that investors may still rely on disclosed benchmarks when evaluating active ETF performance, even when those benchmarks do not fully reflect the funds’ actual return behavior.

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