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

Olivier Brandouy (), Kristiaan Kerstens and Ignace Van de Woestyne

European Journal of Operational Research, 2015, vol. 242, issue 1, 332-342

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.

Keywords: Mutual fund rating; DEA; FDH; Shortage function; Mean-variance portfolio frontier (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (17)

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Working Paper: Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:242:y:2015:i:1:p:332-342

DOI: 10.1016/j.ejor.2014.11.010

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European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

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