BRANDOUY, Olivier; KERSTENS, K.; VAN DE WOESTYNE, I.

doi:10.1016/j.ejor.2014.11.010

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BRANDOUY, Olivier

Groupe de Recherche en Economie Théorique et Appliquée [GREThA]

KERSTENS, K.

VAN DE WOESTYNE, I.

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European Journal of Operational Research. 2015, vol. 242, n° 1, p. 332-342

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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.< Leer menos

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Mutual fund rating

DEA

FDH

Shortage function

Mean-variance portfolio frontier

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

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