Funds with differential performance are either characterized by positive or negative alphas. To determine the source of differential performance, the standard approach partitions the R (γ) significant funds in two groups according to the sign of their estimated alphas. The first group contains the R+ (γ) funds with positive estimated alphas. We refer to them as the best funds. Similarly, the second group is formed with the R− (γ) funds with negative estimated alphas. We call them the worst funds. At a second step, R+ (γ) and R− (γ) are used as estimators of the number of funds with positive alphas and negative performance, respectively
