Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy

Kristiaan Kerstens, Paolo Mazza (p.mazza@ieseg.fr), Tiantian Ren (t.ren@ieseg.fr) and Ignace Van de Woestyne (ignace.vandewoestyne@kuleuven.be)
Additional contact information
Paolo Mazza: IESEG School of Management, CNRS-LEM (UMR 9221), 3 rue de la Digue, F-59000 Lille, France
Tiantian Ren: Corresponding author: School of Business Administration, Hunan University, Changsha 410081, China, and IESEG School of Management, 3 rue de la Digue, F-59000 Lille, France, Tel: +33 320545892 (switch-board), Fax: +33 320574855
Ignace Van de Woestyne: KU Leuven, Research Unit MEES, Warmoesberg 26, B-1000 Brussels, Belgium

No 2021-EQM-03, Working Papers from IESEG School of Management

Abstract: This contribution introduces new frontier models to rate mutual funds that can si-multaneously handle multiple moments and multiple times. These new models are empirically applied to hedge fund data, since this category of funds is known to be subject to non-normal return distributions. We define a simple buy-and-hold backtesting strategy to test for the impact of multiple moments and multiple times separately and jointly.

Keywords: Shortage function; Frontier; Fund rating (search for similar items in EconPapers)
JEL-codes: D24 G11 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2021-05
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Related works:
Journal Article: Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy (2022)
Working Paper: Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy (2022)
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