Evaluation of commodity trading advisors using fixed and variable and benchmark models

Evaluation of commodity trading advisors using fixed and variable and benchmark models

0.00 Avg rating0 Votes
Article ID: iaor20071606
Country: Germany
Volume: 145
Issue: 1
Start Page Number: 183
End Page Number: 200
Publication Date: Jul 2006
Journal: Annals of Operations Research
Authors: ,
Keywords: statistics: data envelopment analysis
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.

Reviews

Required fields are marked *. Your email address will not be published.