TY - JOUR
T1 - A trade-level DEA model to evaluate relative performance of investment fund managers
AU - Klumpes, Paul
AU - Banker, Rajiv
AU - Chen, Janice
PY - 2016
Y1 - 2016
N2 - We develop a trade-level measure to evaluate fund managers’ efficiency in their buying and selling activities relative to the trades of other fund managers. We customize an additive Data Envelopment Analysis (DEA) model to focus on risk-adjusted returns during different time periods as trade-level outcomes. The model does not consider any input–output process. Instead, it considers trade-offs between multiple outcomes. We find that fund managers do not have symmetric ability in buying and selling. Some managers do well in buy transactions but not in sell transactions while others perform well in selling but not in buying. We also explore the determinants of fund managers’ trading performance. Compared to trade characteristics, portfolio characteristics have a greater influence in explaining fund managers’ relative trading efficiency.
AB - We develop a trade-level measure to evaluate fund managers’ efficiency in their buying and selling activities relative to the trades of other fund managers. We customize an additive Data Envelopment Analysis (DEA) model to focus on risk-adjusted returns during different time periods as trade-level outcomes. The model does not consider any input–output process. Instead, it considers trade-offs between multiple outcomes. We find that fund managers do not have symmetric ability in buying and selling. Some managers do well in buy transactions but not in sell transactions while others perform well in selling but not in buying. We also explore the determinants of fund managers’ trading performance. Compared to trade characteristics, portfolio characteristics have a greater influence in explaining fund managers’ relative trading efficiency.
KW - Fund manager performance
KW - Data envelopment analysis
KW - Trade characteristics
KW - Portfolio characteristics
U2 - 10.1016/j.ejor.2016.05.056
DO - 10.1016/j.ejor.2016.05.056
M3 - Journal article
SN - 0377-2217
VL - 255
SP - 903
EP - 910
JO - European Journal of Operational Research
JF - European Journal of Operational Research
ER -