Artikel
The outperformance probability of mutual funds
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
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 3 ; Pages: 1-29 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Portfolio Choice; Investment Decisions
General Financial Markets: Other
- Thema
-
exchange traded funds
inverse coefficient of variation
mutual funds
outperformance probability
performance measurement
Sharpe ratio
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Frahm, Gabriel
Huber, Ferdinand
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
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doi:10.3390/jrfm12030108
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Frahm, Gabriel
- Huber, Ferdinand
- MDPI
Entstanden
- 2019
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