TAILIEUCHUNG - Commodity Trading Advisors: Risk, Performance Analysis, and Selection Chapter 5

CHAPTER 5 CTA Performance Evaluation with Data Envelopment Analysis. We apply data envelopment analysis to a performance evaluation framework for CTAs. The technique allows us to integrate several performance measures into one efficiency score by establishing a multidimensional efficient frontier. | 5 CTA Performance Evaluation with Data Envelopment Analysis Gwenevere Darling Kankana Mukherjee and Kathryn Wilkens We apply data envelopment analysis to a performance evaluation framework for CTAs. The technique allows us to integrate several performance measures into one efficiency score by establishing a multidimensional efficient frontier. Two dimensions of the frontier are consistent with the standard Markowitz mean-variance framework while additional risk and return dimensions include skewness and kurtosis. We also illustrate a method of analyzing determinants of efficiency scores. Tobit regressions of efficiency scores on equity betas beta-squared fund size length of manager track record investment style market focus and strategy discretionary vs. systematic are performed for CTA returns over two time frames representing different market environments. We find that the efficiency scores are negatively related to beta-squared in both time periods. Results also indicate that emerging CTAs those with shorter manager track records tend to have better efficiency scores as defined by the DEA model used in our study. This relationship is strongest during the period from 1998 to 2000 but not statistically significant during the period from 2000 to 2002. For both time periods fund size is not related to efficiency scores. INTRODUCTION Industry performance reports for commodity trading advisors CTAs present multiple performance measures such as return standard deviation drawdowns betas and alphas. Investors and fund managers recognize the importance of considering a multitude of performance measures to analyze fund risk from various perspectives. It is particularly important for the growing alternative investment class of managed futures which have dif 79 80 PERFORMANCE ferent risk return profiles from those of traditional mutual funds as well as those of many hedge fund strategies. For all asset classes however the academic literature has done little to offer a .

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