I am evaluating the performance of a sample of 1000 mutual funds over the period 2000 to 2017 using Carhart (1997) four factor model.
As a way to test for robustness, I use two benchmarks. The CRSP total market index (from Dr Kenneth French website) and Wilshire 5000.
I ran individual time series regressions for all 1000 funds. Then I cross-sectionally average the coefficients to get a sense of how my sample performs on aggregate.
When I use CRSP market index as a benchmark, I get a momentum coefficient of -0.06.
However, when I use Wilshire 5000 as a benchmark, I get a momentum coefficient of -0.01.
Both coefficients are statistically different from 0.
My question is, what could be a reason why momentum differs significantly when I change the benchmark?