Premium
Managed Futures for Long‐Term Investors: A DEA Ranking Analysis
Author(s) -
Tokic Damir
Publication year - 2012
Publication title -
australian economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.308
H-Index - 29
eISSN - 1467-8462
pISSN - 0004-9018
DOI - 10.1111/j.1467-8462.2012.00699.x
Subject(s) - sharpe ratio , data envelopment analysis , ranking (information retrieval) , futures contract , technical analysis , commodity , quality (philosophy) , economics , term (time) , risk–return spectrum , financial economics , trading strategy , business , econometrics , computer science , finance , statistics , mathematics , artificial intelligence , portfolio , philosophy , physics , epistemology , quantum mechanics
This study proposes an alternative Data Envelopment Analysis ranking model to evaluate the relative performance efficiency of commodity‐trading advisors. I measure the performance efficiency using the decision‐making process quality/trading skills framework and depart from the traditional risk–return framework. The Data Envelopment Analysis rankings produced some interesting results. First, similarly to the previous studies, I successfully isolated two ‘superstar’ commodity‐trading advisors with the highest Sharpe ratios as the Grade A commodity‐trading advisors. However, as an improvement over the similar studies that used the traditional risk–return framework, I also isolated two commodity‐trading advisors with average and below‐average Sharpe ratios as Grade A commodity‐trading advisors.