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

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 sim-ple 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 bet-ter than most financial performance measures and existing frontier models in selecting promising funds.(c) 2022 Elsevier Ltd. All rights reserved.

Automated summary

This contribution introduces new frontier models for rating mutual funds that can handle multiple moments and multiple times simultaneously. The models are empirically applied to hedge fund data and outperform most financial performance measures and existing frontier models in selecting promising funds.