Table 2 Classification of passive funds...

Table 2

Classification of passive funds based on FDR method

Model	$λ^{*}$	$γ^{*}$	Unskilled	Zero alpha	Skilled
Model 1	0.75	0.30	1.27%	33.80%	51.27%
	0.80	0.30	0.53%	38.73%	50.53%
	0.85	0.30	1.41%	32.86%	51.41%
	0.75	0.35	2.54%	33.80%	51.13%
	0.80	0.35	1.67%	38.73%	50.26%
	0.85	0.35	2.70%	32.86%	51.29%
Model 3	0.75	0.30	3.24%	25.35%	31.41%
	0.80	0.30	3.35%	24.65%	31.51%
	0.85	0.30	2.82%	28.17%	30.99%
	0.75	0.35	2.61%	25.35%	40.63%
	0.80	0.35	2.73%	24.65%	40.76%
	0.85	0.35	2.11%	28.17%	40.14%
Model 4	0.75	0.30	3.38%	19.72%	54.79%
	0.80	0.30	2.64%	24.65%	54.05%
	0.85	0.30	1.41%	32.86%	52.82%
	0.75	0.35	2.89%	19.72%	58.52%
	0.80	0.35	2.02%	24.65%	57.66%
	0.85	0.35	0.59%	32.86%	56.22%

Model	$λ^{*}$	$γ^{*}$	Unskilled	Zero alpha	Skilled
Model 1	0.75	0.30	1.27%	33.80%	51.27%
	0.80	0.30	0.53%	38.73%	50.53%
	0.85	0.30	1.41%	32.86%	51.41%
	0.75	0.35	2.54%	33.80%	51.13%
	0.80	0.35	1.67%	38.73%	50.26%
	0.85	0.35	2.70%	32.86%	51.29%
Model 3	0.75	0.30	3.24%	25.35%	31.41%
	0.80	0.30	3.35%	24.65%	31.51%
	0.85	0.30	2.82%	28.17%	30.99%
	0.75	0.35	2.61%	25.35%	40.63%
	0.80	0.35	2.73%	24.65%	40.76%
	0.85	0.35	2.11%	28.17%	40.14%
Model 4	0.75	0.30	3.38%	19.72%	54.79%
	0.80	0.30	2.64%	24.65%	54.05%
	0.85	0.30	1.41%	32.86%	52.82%
	0.75	0.35	2.89%	19.72%	58.52%
	0.80	0.35	2.02%	24.65%	57.66%
	0.85	0.35	0.59%	32.86%	56.22%

Note(s): This table shows the proportion of unskilled, zero alpha, and skilled passive funds estimated according to the FDR method of Barras et al. (2010). The authors consider six combinations of the two parameters: $λ^{*}$ = 0.75, 0.80, and 0.85 and $γ^{*}$ = 0.30 and 0.35 Model 1, Model 3, and Model 4 correspond to the fund performance evaluation benchmark models in Equation (2), Equation (4), and Equation (5), respectively

Source(s): Table by authors

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