Publication:
The outperformance probability of mutual funds

cris.customurl 4702
cris.virtual.department Angewandte Stochastik und Risikomanagement
cris.virtual.department #PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.departmentbrowse Angewandte Stochastik und Risikomanagement
cris.virtual.departmentbrowse Angewandte Stochastik und Risikomanagement
cris.virtual.departmentbrowse Angewandte Stochastik und Risikomanagement
cris.virtual.departmentbrowse Angewandte Stochastik und Risikomanagement
cris.virtualsource.department a9d49f91-9465-4fcd-b19d-7b230d9cf851
cris.virtualsource.department #PLACEHOLDER_PARENT_METADATA_VALUE#
dc.contributor.author Frahm, Gabriel
dc.contributor.author Huber, Ferdinand
dc.date.issued 2019
dc.description.abstract We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to investigate the question of whether mutual funds are able to beat the S&P 500 or the Russell 1000. Most mutual funds that are taken into consideration are, in fact, able to beat the market. We argue that one should refer to differential returns when comparing a strategy with a given benchmark and not compare both the strategy and the benchmark with the money-market account. This explains why mutual funds often appear to underperform the market, but this conclusion is fallacious.
dc.description.version NA
dc.identifier.citation Enthalten in: Journal of risk and financial management. - Basel : MDPI, 2008. - Online-Ressource. - Bd. 12.2019, 3/108 (Sep.), Seite 1-29
dc.identifier.doi 10.3390/jrfm12030108
dc.identifier.uri https://openhsu.ub.hsu-hh.de/handle/10.24405/4702
dc.language.iso en
dc.publisher MDPI
dc.relation.journal Journal of risk and financial management
dc.relation.orgunit Angewandte Stochastik und Risikomanagement
dc.rights.accessRights metadata only access
dc.title The outperformance probability of mutual funds
dc.type Research article
dcterms.bibliographicCitation.originalpublisherplace Basel
dspace.entity.type Publication
hsu.peerReviewed
hsu.uniBibliography
oaire.citation.endPage 29
oaire.citation.issue 3/108 (Sep.)
oaire.citation.startPage 1
oaire.citation.volume 12
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