Simple and cross efficiency of CTAs using data envelopment analysis

Greg Gregoriou, Fabrice Rouah, Stephen Satchell and Fernando Diz

The European Journal of Finance, 2005, vol. 11, issue 5, 393-409

Abstract: 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.

Keywords: Data envelopment analysis; commodity trading advisors; efficiency; benchmark (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (7)

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DOI: 10.1080/1351847042000286667

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