DEA-based rating of pension fund managers (E.Fedorova, A.Didenko)

Authors develop DEA model for assessing investment performance and calculate quarterly efficiency scores for 46 fund managers from Russian Federation, covering period 2004–2012. Subsequent analysis shows that higher scores come through low net asset value, high level of risk premiums and low level of expected losses. Key impacts to efficiency change are the level of diversification, relative market value of assets, and the age of management company.

(Published in Russian in “Economic Analysis: Theory and Practice” 40 (391), p.48-57)


What impacts efficiency of pension fund managers in Russia (E.Fedorova, A.Didenko, D.Sedykh.)

We use data envelopment analysis (DEA) to assess efficiency of 46 pension fund managers in Russia during 2004-2012. Our DEA model represents pension fund portfolio as decision making unit transforming risk, human and financial capital to active return and quality of diversification. We find that the highest impact to efficiency of pension funds have stock market returns, while interest rates, corporate debts, FX rate have lower impact, and energy prices have no impact at all. Bigger and more mature portfolios with higher share of equities and cash would have lower returns. Seasonal factor impact is also high with third quarter being the toughest for managers. We explain it by scale effects and constraints implied by funds’ investment declarations.

(Published in Russian in «Financial analytics: science and experience», ISSN 2073-4484, issue No. 33(219) – 2014 September)

Continue reading