Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 242, Issue 1, Pages 332-342Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2014.11.010
Keywords
Mutual fund rating; DEA; FDH; Shortage function; Mean-variance portfolio frontier
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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. (C) 2014 Elsevier B.V. All rights reserved.
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