Title :

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

Author(s) :

Brandouy, Olivier [Auteur]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Kerstens, Kristiaan [Auteur]
Lille économie management - UMR 9221 [LEM]
Woestyne, Ignace Van [Auteur]

Journal title :

European Journal of Operational Research

Pages :

332--342

Publisher :

Elsevier

Publication date :

2015-04

ISSN :

0377-2217

English keyword(s) :

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

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances
Économie et finance quantitative [q-fin]

English abstract : [en]

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. ...
Show more >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.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL