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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: |
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| Divisions: | Schools > Nottingham Business School | ||||
| Record created by: | Jonathan Gallacher | ||||
| Date Added: | 01 Aug 2016 16:18 | ||||
| Last Modified: | 06 Jun 2018 03:00 | ||||
| URI: | https://irep.ntu.ac.uk/id/eprint/28258 |
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