Imputing Daily Mutual Fund Trades

58 Pages Posted: 17 Jan 2024 Last revised: 18 Oct 2024

See all articles by Dion Bongaerts

Dion Bongaerts

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)

Jean-Paul van Brakel

Erasmus University Rotterdam (EUR) - Finance; Robeco Institutional Asset Management

Mathijs A. van Dijk

Erasmus University Rotterdam (EUR)

Date Written: March 31, 2023

Abstract

We propose a novel method to impute daily mutual fund trades in individual stocks from daily stock prices and returns and quarterly fund holdings, monthly total net assets and daily fund returns - so the method can be applied to standard CRSP mutual fund data. We set up an (underidentified) system of linear equations and solve the underidentification issue with hierarchical preferences and an iterative method that applies random and adaptive constraints on trade incidence. The method produces daily, stock-level trade estimates with associated confidence levels. Validation analyses using proprietary daily fund trading data show good accuracy, especially for larger trades.

Keywords: Mutual funds, optimization, linear programming, daily frequency, Thompson sampling

JEL Classification: C44, C50, C61, C63, C81, G23

Suggested Citation

Bongaerts, Dion and van Brakel, Jean-Paul and van Dijk, Mathijs A., Imputing Daily Mutual Fund Trades (March 31, 2023). Available at SSRN: https://ssrn.com/abstract=4678139 or http://dx.doi.org/10.2139/ssrn.4678139

Dion Bongaerts

Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) ( email )

P.O. Box 1738
Room T08-21
3000 DR Rotterdam, 3000 DR
Netherlands

Jean-Paul Van Brakel (Contact Author)

Erasmus University Rotterdam (EUR) - Finance ( email )

Burgemeester Oudlaan 50
Rotterdam, 3062PA
Netherlands

Robeco Institutional Asset Management

Weena 850
Rotterdam, 3014 DA
Netherlands

Mathijs A. Van Dijk

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

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