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Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy

Author

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  • Kristiaan Kerstens

    (IESEG School of Management, CNRS-LEM (UMR 9221), Université de Lille, 3 rue de la Digue, F-59000 Lille, France)

  • 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)

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.

Suggested Citation

  • Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
    • Handle: RePEc:ies:wpaper:e202105
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    2. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.

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    More about this item

    Keywords

    Shortage function; Frontier; Fund rating;
    All these keywords.

    JEL classification:

    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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