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

Kristiaan Kerstens, Paolo Mazza, Tiantian Ren and Ignace Van de Woestyne

Omega, 2022, vol. 113, issue C

Abstract: This contribution introduces new frontier models to rate mutual funds that can simultaneously 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. The empirical results demonstrate that the proposed frontier models perform better than most financial performance measures and existing frontier models in selecting promising funds.

Keywords: Data Envelopment Analysis; Shortage function; Frontier; Fund rating (search for similar items in EconPapers)
JEL-codes: D24 G11 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0305048322001256
Full text for ScienceDirect subscribers only

Related works:
Working Paper: 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 (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:113:y:2022:i:c:s0305048322001256

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.omega.2022.102718

Access Statistics for this article

Omega is currently edited by B. Lev

More articles in Omega from Elsevier
Bibliographic data for series maintained by Catherine Liu ().