A trade-level DEA model to evaluate relative performance of investment fund managers

Paul Klumpes, Rajiv Banker*, Janice Chen

*Kontaktforfatter

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

8 Citationer (Scopus)

Abstrakt

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.
OriginalsprogEngelsk
TidsskriftEuropean Journal of Operational Research
Vol/bind255
Sider (fra-til)903-910
Antal sider8
ISSN0377-2217
DOI
StatusUdgivet - 2016

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