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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...
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Sharpe ratio, Information ratio, Treynor ratio, M -squared and Jensen’s α . The data comprises 1,037 funds. These funds are … ), and fund types as independent variables. Findings – The findings show that Chinese funds generate positive α s for their …. The average Jensen’s α is the highest in aggressive allocation funds. QDII funds do not provide significant positive α s …
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