Resampling DEA estimates of investment fund performance

Abstract

Kai-Hong Tee Loughborough University Business School, Loughborough le11 3tu Data envelopment analysis (dea) is attractive for comparing investment funds because it handles different characteristics of fund distribution and gives a way to rank funds. There is substantial literature applying dea to funds, based on the time series of funds' returns. This article looks at the issue of uncertainty in the resulting dea efficiency estimates, investigating consistency and bias. It uses the bootstrap to develop stochastic dea models for funds, derive confidence intervals and develop techniques to compare and rank funds and represent the ranking. It investigates how to deal with autocorrelation in the time series and considers models that deal with correlation in the funds' returns. data envelopment analysis, bootstrap, investment fund, rank, bias

Diversification-consistent data envelopment analysis based on directional-distance measures

“…These methods are based on resampling of decision making units and frontier estimation based on these pseudosamples. However, we employ the approach proposed by Lamb and Tee [46], who compared DEA ranks of mutual funds and did not sample DMUs (mutual funds), but they focused on unknown distribution of the random returns and resample the original data.…”

“…Since our computations are based on an observed sample of asset returns, we employ bootstrapping (Efron and Tibshirani [27]) to investigate the behaviour of the DEA scores. This resampling technique is based on repeated sampling with replacement from the original data and it enables us to estimate the bias, standard error and confidence intervals for the DEA scores, see Lamb and Tee [46] for details. Moreover, we compare our DEA models with the ones proposed by Silva Portela et al [64] and Kuosmanen [44].…”

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

“…Basso and Funari (2001) measure the efficiency of 47 mutual funds between 1997 and 1999. Other applications of DEA to measure mutual fund performance include Morey and Morey (1999), Basso and Funari (2003), Lozano and Gutierrez (2008) and Lamb and Tee (2012). Some recent papers also apply DEA to evaluate hedge fund performance (e.g.…”

Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period

“…Lamb and Tee [20] use DEA to identify the returns to scale and measures needed for a DEA model of mutual funds and show how to handle scope for diversification. In another paper, Lamb and Tee [21] further investigate the application of DEA for comparing investment funds and develop stochastic DEA models for funds, derive confidence intervals, develop techniques to compare and rank funds and represent the ranking and consider autocorrelation in time series. Empirical research using the DEA methodology has been conducted not just for predominantly US mutual funds, but also Italian, Greek, Chinese mutual funds.…”