Outperforming probabilities based on standard benchmark models for the US
| CAPM (%) | FF - 3 factor model (%) | FFC - 4 factor model (%) | |
|---|---|---|---|
| Whole period | 1.828 | 2.089 | 2.350 |
| 2010–2012 | 0.522 | 1.044 | 1.044 |
| 2013–2015 | 2.089 | 1.044 | 0.261 |
| 2016–2019 | 0.000 | 0.000 | 0.000 |
| CAPM (%) | FF - 3 factor model (%) | FFC - 4 factor model (%) | |
|---|---|---|---|
| Whole period | 1.828 | 2.089 | 2.350 |
| 2010–2012 | 0.522 | 1.044 | 1.044 |
| 2013–2015 | 2.089 | 1.044 | 0.261 |
| 2016–2019 | 0.000 | 0.000 | 0.000 |
Note(s): Table 9 presents the outperforming probability of the sample funds based on the CAPM, Fama and French (1993), and Carhart (1997) models. The fund sample includes 385 US mutual funds. The sample period ranges from January 2010 through December 2019 (monthly return data)
Source(s): Authors’ own work