Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis

Abstract : We explore the potential benefits of a series of existing and new non-parametric convex and non-convex frontier-based fund rating models to summarize the information contained in the moments of the mutual fund price series. Limiting ourselves to the traditional mean-variance portfolio setting, we test in a simple backtesting setup whether these efficiency measures fare any better than more traditional financial performance measures in selecting promising investment opportunities. The evidence points to a remarkable superior performance of these frontier models compared to most, but not all traditional financial performance measures.
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Submitted on : Tuesday, June 6, 2017 - 3:44:30 PM
Last modification on : Thursday, April 11, 2019 - 9:25:01 AM

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Olivier Brandouy, Kristiaan Kerstens, Ignace Van Woestyne. Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis. European Journal of Operational Research, Elsevier, 2015, 242 (1), pp.332--342. ⟨10.1016/j.ejor.2014.11.010⟩. ⟨hal-01533555⟩

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