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Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

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  • Kerstens, Kristiaan
  • Mounir, Amine
  • de Woestyne, Ignace Van

Abstract

There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.

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  • Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
  • Handle: RePEc:eee:jbfina:v:35:y:2011:i:5:p:1190-1201
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    2. Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman, 2015. "The performance of US equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 217-229.
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    4. repec:eee:finana:v:52:y:2017:i:c:p:213-227 is not listed on IDEAS
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    9. Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2015. "Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis," European Journal of Operational Research, Elsevier, vol. 242(1), pages 332-342.
    10. Badrinath, S.G. & Gubellini, S., 2011. "On the characteristics and performance of long-short, market-neutral and bear mutual funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1762-1776, July.
    11. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    12. Wanke, Peter & Barros, Carlos P. & Faria, João R., 2015. "Financial distress drivers in Brazilian banks: A dynamic slacks approach," European Journal of Operational Research, Elsevier, vol. 240(1), pages 258-268.
    13. Peter Wanke & Carlos Barros & Nkanga Pedro João Macanda, 2016. "Predicting Efficiency in Angolan Banks: A Two-Stage TOPSIS and Neural Networks Approach," South African Journal of Economics, Economic Society of South Africa, vol. 84(3), pages 461-483, September.
    14. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.

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