Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
476602 | European Journal of Operational Research | 2015 | 11 Pages |
•DEA- and FDH-based and traditional financial mutual fund ratings are compared.•First backtesting analysis in mean-variance portfolio model.•Results show considerable promise for these new frontier mutual fund ratings.
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.