Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models

Greg Gregoriou () and Yao Chen ()

Annals of Operations Research, 2006, vol. 145, issue 1, 183-200

Abstract: This paper examines the performance of Commodity Trading Advisors (CTAs) using fixed and variable benchmarking models. In order to avoid the troublesome passive and active commodity and managed futures benchmarks (indices) when examining the performance of CTAs, we innovate by using data envelopment analysis (DEA). Because this alternative class has non-linear returns due to long/short positions, and derivatives (i.e., dynamic trading strategies), DEA can alleviate the problems usually associated with these indices. The effectiveness of using benchmarking models in a DEA setting will provide investors with an alternative technique in assessing the performance and identifying efficient CTAs. Copyright Springer Science+Business Media, LLC 2006

Keywords: Managed futures; Benchmark; Data envelopment analysis (DEA); Performance (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10479-006-0030-y

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