Wilkens, Kathryn A.
In this report, we use a new approach, data envelopment analysis (DEA), to evaluate the performance of commodity trading advisors (CTAS) using multiple criteria. Earlier studies have focused mainly on single criterion. After measuring the efficiency scores, we investigated the important determinants that affect the efficiencies of individual CTAS, using various specifications of tobit regression models. We find that during the up market, managers perform better and during the down market, CTAS using the systematic strategy perform better.
Worcester Polytechnic Institute
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