Title: Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
Authors: Brandouy, Olivier
Kerstens, Kristiaan ×
Van de Woestyne, Ignace #
Issue Date: 2015
Publisher: Elsevier
Series Title: European Journal of Operational Research vol:242 issue:1 pages: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.
ISSN: 0377-2217
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)
Faculty of Economics and Business (FEB) - miscellaneous
× corresponding author
# (joint) last author

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