Title: The outperformance probability of mutual funds
Authors: Frahm, Gabriel  
Huber, Ferdinand 
Language: en
Keywords: Universit├Ątsbibliographie;Evaluation 2019
Issue Date: 2019
Publisher: MDPI
Document Type: Article
Source: Enthalten in: Journal of risk and financial management. - Basel : MDPI, 2008. - Online-Ressource. - Bd. 12.2019, 3/108 (Sep.), Seite 1-29
Journal / Series / Working Paper (HSU): Journal of risk and financial management 
Volume: 12
Issue: 3/108 (Sep.)
Page Start: 1
Page End: 29
Publisher Place: Basel
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.
Organization Units (connected with the publication): Angewandte Stochastik und Risikomanagement 
URL: https://ub.hsu-hh.de/DB=1.8/XMLPRS=N/PPN?PPN=1668836157
DOI: 10.3390/jrfm12030108
Appears in Collections:2019

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