The Outperformance Probability of Mutual Funds

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 investig...

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Bibliographic Details
Main Authors:	Gabriel Frahm, Ferdinand Huber
Format:	Article
Language:	English
Published:	MDPI AG 2019-06-01
Series:	Journal of Risk and Financial Management
Subjects:	exchange traded funds inverse coefficient of variation mutual funds outperformance probability performance measurement Sharpe ratio
Online Access:	https://www.mdpi.com/1911-8074/12/3/108

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