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

Annals of Operations Research volume 145, pages 183–200 (2006)Cite this article

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.

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Authors and Affiliations

  1. School of Business and Economics, State University of New York, 101 Broad Street, Plattsburgh, New York, 12901, USA

    Greg N. Gregoriou

  2. College of Management, University of Massachusetts at Lowell, Lowell, MA, 01854, USA

    Yao Chen

Authors
  1. Greg N. Gregoriou
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  2. Yao Chen
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Correspondence to Greg N. Gregoriou.

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Gregoriou, G.N., Chen, Y. Evaluation of Commodity Trading Advisors using fixed and variable and benchmark models. Ann Oper Res 145, 183–200 (2006). https://doi.org/10.1007/s10479-006-0030-y

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  • DOI: https://doi.org/10.1007/s10479-006-0030-y

Keywords

  • Managed futures
  • Benchmark
  • Data envelopment analysis (DEA)
  • Performance