Publication:
The outperformance probability of mutual funds

cris.virtual.departmentAngewandte Stochastik und Risikomanagement
cris.virtual.department#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.departmentbrowseAngewandte Stochastik und Risikomanagement
cris.virtual.departmentbrowseAngewandte Stochastik und Risikomanagement
cris.virtual.departmentbrowseAngewandte Stochastik und Risikomanagement
cris.virtualsource.departmenta9d49f91-9465-4fcd-b19d-7b230d9cf851
cris.virtualsource.department#PLACEHOLDER_PARENT_METADATA_VALUE#
dc.contributor.authorFrahm, Gabriel
dc.contributor.authorHuber, Ferdinand
dc.date.issued2019
dc.description.abstractWe 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.versionNA
dc.identifier.citationEnthalten in: Journal of risk and financial management. - Basel : MDPI, 2008. - Online-Ressource. - Bd. 12.2019, 3/108 (Sep.), Seite 1-29
dc.identifier.doi10.3390/jrfm12030108
dc.identifier.urihttps://openhsu.ub.hsu-hh.de/handle/10.24405/4702
dc.language.isoen
dc.publisherMDPI
dc.relation.journalJournal of risk and financial management
dc.relation.orgunitAngewandte Stochastik und Risikomanagement
dc.rights.accessRightsmetadata only access
dc.titleThe outperformance probability of mutual funds
dc.typeResearch article
dcterms.bibliographicCitation.originalpublisherplaceBasel
dspace.entity.typePublication
hsu.peerReviewed
hsu.uniBibliography
oaire.citation.endPage29
oaire.citation.issue3/108 (Sep.)
oaire.citation.startPage1
oaire.citation.volume12
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