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The Outperformance Probability of Mutual Funds
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Zeitschriftentitel: | Journal of Risk and Financial Management |
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Personen und Körperschaften: | , |
In: | Journal of Risk and Financial Management, 12, 2019, 3, S. 108 |
Format: | E-Article |
Sprache: | Englisch |
veröffentlicht: |
MDPI AG
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Schlagwörter: |
author_facet |
Frahm, Gabriel Huber, Ferdinand Frahm, Gabriel Huber, Ferdinand |
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author |
Frahm, Gabriel Huber, Ferdinand |
spellingShingle |
Frahm, Gabriel Huber, Ferdinand Journal of Risk and Financial Management The Outperformance Probability of Mutual Funds General Earth and Planetary Sciences General Environmental Science |
author_sort |
frahm, gabriel |
spelling |
Frahm, Gabriel Huber, Ferdinand 1911-8074 MDPI AG General Earth and Planetary Sciences General Environmental Science http://dx.doi.org/10.3390/jrfm12030108 <jats:p>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.</jats:p> The Outperformance Probability of Mutual Funds Journal of Risk and Financial Management |
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2019 |
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MDPI AG |
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Journal of Risk and Financial Management |
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title |
The Outperformance Probability of Mutual Funds |
title_unstemmed |
The Outperformance Probability of Mutual Funds |
title_full |
The Outperformance Probability of Mutual Funds |
title_fullStr |
The Outperformance Probability of Mutual Funds |
title_full_unstemmed |
The Outperformance Probability of Mutual Funds |
title_short |
The Outperformance Probability of Mutual Funds |
title_sort |
the outperformance probability of mutual funds |
topic |
General Earth and Planetary Sciences General Environmental Science |
url |
http://dx.doi.org/10.3390/jrfm12030108 |
publishDate |
2019 |
physical |
108 |
description |
<jats:p>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.</jats:p> |
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author | Frahm, Gabriel, Huber, Ferdinand |
author_facet | Frahm, Gabriel, Huber, Ferdinand, Frahm, Gabriel, Huber, Ferdinand |
author_sort | frahm, gabriel |
container_issue | 3 |
container_start_page | 0 |
container_title | Journal of Risk and Financial Management |
container_volume | 12 |
description | <jats:p>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.</jats:p> |
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spelling | Frahm, Gabriel Huber, Ferdinand 1911-8074 MDPI AG General Earth and Planetary Sciences General Environmental Science http://dx.doi.org/10.3390/jrfm12030108 <jats:p>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.</jats:p> The Outperformance Probability of Mutual Funds Journal of Risk and Financial Management |
spellingShingle | Frahm, Gabriel, Huber, Ferdinand, Journal of Risk and Financial Management, The Outperformance Probability of Mutual Funds, General Earth and Planetary Sciences, General Environmental Science |
title | The Outperformance Probability of Mutual Funds |
title_full | The Outperformance Probability of Mutual Funds |
title_fullStr | The Outperformance Probability of Mutual Funds |
title_full_unstemmed | The Outperformance Probability of Mutual Funds |
title_short | The Outperformance Probability of Mutual Funds |
title_sort | the outperformance probability of mutual funds |
title_unstemmed | The Outperformance Probability of Mutual Funds |
topic | General Earth and Planetary Sciences, General Environmental Science |
url | http://dx.doi.org/10.3390/jrfm12030108 |