Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
Language
EN
Article de revue
This item was published in
European Journal of Operational Research. 2015, vol. 242, n° 1, p. 332-342
English 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. ...Read 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 frontiermodels compared tomost, but not all traditional financial performance measures.Read less <
English Keywords
Mutual fund rating
DEA
FDH
Shortage function
Mean-variance portfolio frontier