Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy
| Autor: | Kristiaan Kerstens, Paolo Mazza, Tiantian Ren, Ignace Van de Woestyne |
|---|---|
| Přispěvatelé: | Lille économie management - UMR 9221 (LEM), Université d'Artois (UA)-Université catholique de Lille (UCL)-Université de Lille-Centre National de la Recherche Scientifique (CNRS), Catholic University of Leuven - Katholieke Universiteit Leuven (KU Leuven) |
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
Information Systems and Management
Data Envelopment Analysis Strategy and Management Fund rating JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions Shortage function [SHS.GESTION]Humanities and Social Sciences/Business administration Management Science and Operations Research Frontier JEL: D - Microeconomics/D.D2 - Production and Organizations/D.D2.D24 - Production • Cost • Capital • Capital Total Factor and Multifactor Productivity • Capacity |
| Zdroj: | Omega Omega, 2022, 113, pp.102718. ⟨10.1016/j.omega.2022.102718⟩ |
| ISSN: | 0305-0483 |
| DOI: | 10.1016/j.omega.2022.102718⟩ |
| Popis: | International audience; This contribution introduces new frontier models to rate mutual funds that can simultaneously 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. The empirical results demonstrate that the proposed frontier models perform better than most financial performance measures and existing frontier models in selecting promising funds. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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