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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Article dans une revue
European Journal of Operational Research, Elsevier, 2015, 242 (1), pp.332--342. 〈10.1016/j.ejor.2014.11.010〉
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https://hal.archives-ouvertes.fr/hal-01533555
Contributeur : Romain Boisselet <>
Soumis le : mardi 6 juin 2017 - 15:44:30
Dernière modification le : mardi 17 juillet 2018 - 18:44:01

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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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