I have built a CMS. A demo of it is available here:
cmsdemo.webworkstest.com > home - you can play with it by logging in here:
admin (username: demo, password: demo)
There are advantages, in that you understand the code of the CMS very intimately, so can make changes easily.
Also, pre-built CMSs tend to have a load of features which overwhelm the general user, who may only be interested in a sub-set of them.
As you are building your CMS in response to the demand of your clients, you can tailor it so that they only see what they will actually use.
As well, the established CMSes may be stretched a bit thin in places, being very good in general, but in specific areas, you may be able to provide better products.
On the negative side, the existing CMSs out there are pretty polished and full-featured, so if you are going to be selling one to your clients, it should be very up-to-scratch, and you should have a list of reasons why your product is better for the client than, say, Mambo or Drupal, etc.