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

Banker, R., Chen, J.Y.S. and Klumpes, P. ORCID: 0000-0002-3357-6087, 2016. A trade-level DEA model to evaluate relative performance of investment fund managers. European Journal of Operational Research, 255 (3), pp. 903-910. ISSN 0377-2217

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Abstract

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 tradeoffs 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.

Item Type: Journal article
Publication Title: European Journal of Operational Research
Creators: Banker, R., Chen, J.Y.S. and Klumpes, P.
Publisher: Elsevier
Date: 16 December 2016
Volume: 255
Number: 3
ISSN: 0377-2217
Identifiers:
NumberType
10.1016/j.ejor.2016.05.056DOI
Divisions: Schools > Nottingham Business School
Depositing User: Jonathan Gallacher
Date Added: 01 Aug 2016 16:18
Last Modified: 04 Oct 2017 10:11
URI: http://irep.ntu.ac.uk/id/eprint/28258

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