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

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  • Greg Gregoriou
  • Yao Chen

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

Suggested Citation

  • Greg Gregoriou & Yao Chen, 2006. "Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models," Annals of Operations Research, Springer, vol. 145(1), pages 183-200, July.
    • Handle: RePEc:spr:annopr:v:145:y:2006:i:1:p:183-200:10.1007/s10479-006-0030-y
    DOI: 10.1007/s10479-006-0030-y
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    References listed on IDEAS

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    1. Greg Gregoriou & Fabrice Rouah & Stephen Satchell & Fernando Diz, 2005. "Simple and cross efficiency of CTAs using data envelopment analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 11(5), pages 393-409.
    2. Gregoriou, Greg N. & Sedzro, Komlan & Zhu, Joe, 2005. "Hedge fund performance appraisal using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 164(2), pages 555-571, July.
    3. Thomas Schneeweis & Uttama Savanayana & David McCarthy, 1991. "Alternative commodity trading vehicles: A performance analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 475-490, August.
    4. Edwards, F.R. & Ma, C., 1988. "Commodity Pool Performance:Is The Information Contained In Pool Prospectuses Useful?," Papers csfm-166, Columbia - Center for Futures Markets.
    5. Franklin R. Edwards & Cindy Ma, 1988. "Commodity pool performance: Is the information contained in pool prospectuses useful?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(5), pages 589-616, October.
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    3. Glawischnig, Markus & Sommersguter-Reichmann, Margit, 2010. "Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 295-303, February.

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