Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy - Université de Lille Accéder directement au contenu
Article Dans Une Revue Omega Année : 2022

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

Résumé

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.
Fichier principal
Vignette du fichier
MH and MM Rating_Basic Testing Framework_17May2022.pdf (610.81 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03833261 , version 1 (07-11-2022)

Identifiants

Citer

Kristiaan Kerstens, Paolo Mazza, Tiantian Ren, Ignace van de Woestyne. Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. Omega, 2022, 113, pp.102718. ⟨10.1016/j.omega.2022.102718⟩. ⟨hal-03833261⟩
33 Consultations
28 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More