EconPapers    
Economics at your fingertips  
 

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 ()
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ieseg.fr/wp-content/uploads/2021/05/2021-EQM-03.pdf (application/pdf)

Related works:
Journal Article: Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy (2022) Downloads
Working Paper: Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy (2022) Downloads
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:ies:wpaper:e202105

Access Statistics for this paper

More papers in Working Papers from IESEG School of Management Contact information at EDIRC.
Bibliographic data for series maintained by Lies BOUTEN ().

 
Page updated 2025-03-30
Handle: RePEc:ies:wpaper:e202105