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...

Numerous studies investigate the relationships between fund manager characteristics and fund performance. However, most evaluate fund performance by using traditional factor alphas, such as the Fama–French–Carhart four- and six-factor alphas. In the present study, we analyze data from...

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...

Purpose - The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach - The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through...

We reconsider the question of whether beta-centric hedge fund activity is predictive of superior performance. We construct a measure of overall beta activity of fund managers, Beta Activity, and find evidence that top beta active managers deliver superior long term out-of-sample performance...

This paper extends recent discussion on the effectiveness of mutual fund performance measures. We utilize the well-known value premium to examine the ability of mutual fund performance measures to distinguish between the results of value funds and growth funds. Specifically, we examine the...

This paper studies the persistence of mutual fund performance. Academic research often focuses on fund returns. This study intends to examine the performance of selected Large cap and Mid cap mutual fund schemes of Indian Mutual fund industry during the study period 2007 to 2011. The performance...

This paper analyses gender differences in hedge fund (HF) performance persistence using parametric and non-parametric risk-adjusted-performance persistence indicators. We find evidence consistent with performance persistence, which in relative (risk-adjusted) terms, is more pronounced amongst...

Exchange traded funds (ETFs) are one of the most influential financial innovations, reshaping the investment funds market in many countries, including Mexico. Due to their similar investment objectives, ETFs are considered substitutes for mutual funds. This paper examines the changes of the...

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...