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

Author

Listed:
  • Olivier Brandouy

    (Sorbonne Graduate Business School - IAE de Paris)

  • Kristiaan Kerstens

    () (Department of Economics - IESEG School of Managementg, LEM - Lille - Economie et Management - CNRS - Centre National de la Recherche Scientifique - UCL - Université catholique de Lille - Université de Lille)

  • Ignace Van Woestyne

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.

Suggested Citation

  • Olivier Brandouy & Kristiaan Kerstens & Ignace Van Woestyne, 2015. "Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis," Post-Print hal-01533555, HAL.
  • Handle: RePEc:hal:journl:hal-01533555
    DOI: 10.1016/j.ejor.2014.11.010
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01533555
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    References listed on IDEAS

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    1. repec:eee:jomega:v:76:y:2018:i:c:p:28-37 is not listed on IDEAS
    2. repec:spr:annopr:v:253:y:2017:i:1:d:10.1007_s10479-016-2294-1 is not listed on IDEAS

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