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| Author: | Gregoriou, G.N. (et al.) |
| Title: | Simple and cross efficiency of CTAs using data envelopment analysis |
| Journal: | European Journal of Finance
2005 : OCT, VOL. 11:5, p. 393-409 |
| Index terms: | benchmarking data envelopment analysis efficiency trading |
| Language: | eng |
| Abstract: | In this paper Data envelopment analysis (DEA) is applied, and basic and cross-efficiency models are used to evaluate the performance of CTA classifications. The ever-increasing number of CTAs causes 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 benchmarks are not required, therefore, it alleviates the problem of using traditional benchmarks to examine non-normal returns. This paper explores CTAs and identifies the ones that have achieved superior performance or, that is, have an effiiciency score of 100 in a risk/return setting. |
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