TY - JOUR
T1 - Simple and cross efficiency of CTAs using data envelopment analysis
AU - Gregoriou, Greg N.
AU - Rouah, Fabrice
AU - Satchell, Stephen
AU - Diz, Fernando
N1 - Copyright:
Copyright 2005 Elsevier B.V., All rights reserved.
PY - 2005/10
Y1 - 2005/10
N2 - Data envelopment analysis (DEA) is applied, and basic and cross-efficiency models are used to evaluate the performance of CTA classifications. With the ever-increasing number of CTAs, there is an urgent requirement to provide money managers, pension funds, and high-net-worth individuals with a trustworthy appraisal method in ranking their efficiency. DEA can achieve this, and one important benefit of this measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal returns. This article aims to investigate CTAs and to identify the ones that have achieved superior performance or, in other words, have an efficiency score of 100 in a risk/return setting.
AB - Data envelopment analysis (DEA) is applied, and basic and cross-efficiency models are used to evaluate the performance of CTA classifications. With the ever-increasing number of CTAs, there is an urgent requirement to provide money managers, pension funds, and high-net-worth individuals with a trustworthy appraisal method in ranking their efficiency. DEA can achieve this, and one important benefit of this measure is that benchmarks are not required, thereby alleviating the problem of using traditional benchmarks to examine non-normal returns. This article aims to investigate CTAs and to identify the ones that have achieved superior performance or, in other words, have an efficiency score of 100 in a risk/return setting.
KW - Benchmark
KW - Commodity trading advisors
KW - Data envelopment analysis
KW - Efficiency
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U2 - 10.1080/1351847042000286667
DO - 10.1080/1351847042000286667
M3 - Review article
AN - SCOPUS:27744537053
VL - 11
SP - 393
EP - 409
JO - European Journal of Finance
JF - European Journal of Finance
SN - 1351-847X
IS - 5
ER -