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

Olivier Brandouy (), Kristiaan Kerstens and Ignace Van Woestyne

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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: 2015-04
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Citations: View citations in EconPapers (14)

Published in European Journal of Operational Research, 2015, 242 (1), pp.332--342. ⟨10.1016/j.ejor.2014.11.010⟩

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Journal Article: Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01533555

DOI: 10.1016/j.ejor.2014.11.010

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