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 times. These are empirically applied hedge fund data, since this category of is known be subject non-normal return distributions. We define a simple buy-and-hold backtesting strategy test for the impact times separately jointly. The empirical results demonstrate proposed perform better than most financial performance measures existing in selecting promising funds.