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

Olivier Brandouy; Kristiaan Kerstens; Ignace Van Woestyne

doi:10.1016/j.ejor.2014.11.010

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

Olivier Brandouy ¹ Kristiaan Kerstens ^{2, 3} Ignace Van Woestyne

1 Sorbonne Graduate Business School

2 Department of Economics

3 LEM - Lille économie management - LEM - UMR 9221

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.

Keywords : Mutual fund rating DEA FDH Shortage function Mean-variance portfolio frontier

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economies and finances

Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-01533555
Contributor : Romain Boisselet <>
Submitted on : Tuesday, June 6, 2017 - 3:44:30 PM
Last modification on : Thursday, April 11, 2019 - 9:25:01 AM

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

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

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