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
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Paolo Mazza: LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique
Tiantian Ren: LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique
Ignace van de Woestyne: KU Leuven - Catholic University of Leuven = Katholieke Universiteit Leuven

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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)
Date: 2022-12
New Economics Papers: this item is included in nep-eff
Note: View the original document on HAL open archive server: https://hal.univ-lille.fr/hal-03833261
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Citations: View citations in EconPapers (3)

Published in Omega, 2022, 113, pp.102718. ⟨10.1016/j.omega.2022.102718⟩

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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 (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03833261

DOI: 10.1016/j.omega.2022.102718

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