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Journal articles
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.
https://hal.archives-ouvertes.fr/hal-01533555
Contributor : Romain Boisselet <>
Submitted on : Tuesday, June 6, 2017 - 3:44:30 PM
Last modification on : Tuesday, December 1, 2020 - 12:42:03 AM
Contributor : Romain Boisselet <>
Submitted on : Tuesday, June 6, 2017 - 3:44:30 PM
Last modification on : Tuesday, December 1, 2020 - 12:42:03 AM
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