Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach

EVALUATING HEDGE FUND and CTA PERFORMANCE
Data Envelopment Analysis Approach
Introducing Data Envelopment Analysis (DEA): A quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commodity trading advisors.
"Quantitative analysis of hedge funds is a complex task considering the non–normality of their return distributions and failure of conventional approaches of benchmarking their performance using standard statistical techniques. This book by Gregoriou and Zhu does an excellent job of introducing the new approach of ′Data Envelopment Analysis,′ which should help everyone interested in analyzing hedge funds and managed futures. Highly recommended!"
—Vikas Agarwal, Assistant Professor of Finance J. Mack Robinson College of Business, Georgia State University
"The analysis of hedge funds′ performance represents one of the youngest and most promising fields of portfolio management. With the powerful approach of DEA, the authors convincingly integrate alternative investments in robust portfolio selection. I believe this book represents an important milestone for the potential reconciliation of hedge funds with traditional investment vehicles."
—Georges H¿bner, Deloitte Professor of Financial Management University of Liège, Belgium; Associate Professor of Finance, Maastricht University, The Netherlands
"This book steps beyond the traditional trade–off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings."
—Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research

Spis treści:< br>Preface.
Acknowledgments.
Chapter 1: Fund Selection and Data Envelopment Analysis.
Introduction.
Fund Selection.
What Is Data Envelopment Analysis?
Chapter 2: DEA Models.
Introduction.
DEA Model Calculation.
Markowitz Model and Sharpe Ratio.
Constant Returns–to–Scale DEA Model.
Negative Data.
DEAFrontier Excel Add–In.
Solving DEA Model.
Chapter 3: Classification Methods.
Introduction.
Returns–to–Scale Classification.
Context–Dependent DEA.
Chapter 4: Benchmarking Models.
Introduction.
Variable–Benchmark Model.
Solving Variable–Benchmark Model.
Fixed–Benchmark Model.
Solving Fixed–Benchmark Model.
Chapter 5: Data, Inputs, and Outputs.
Description of Data.
Methodology.
Preparing the Data for DEAFrontier.
Chapter 6: Application of Basic DEA Models.
Introduction.
Results.
Conclusion.
Chapter 7: Application of Returns–to–Scale.
Introduction.
Results.
Conclusion.
Chapter 8: Application of Context–Dependent DEA.
Introduction.
Results.
Conclusion.
Chapter 9: Application of Fixed– and Variable–Benchmark Models.
Introduction.
Results.
Conclusion.
Chapter 10: Closing Remarks.
References.
Index.
About the CD–Rom.
About the Authors.

Nota biograficzna:
GREG N. GREGORIOU is Assistant Professor of Finance and coordinator of faculty research in the School of Business and Economics at the State University of New York (Plattsburgh). He received his BA in economics from Concordia University and his MBA and PhD in finance from the University of Quebec at Montreal. He is an associate with the Peritus Group in Montreal and the hedge fund editor and an editorial board member for Derivatives Use, Trading and Regulation (London). Gregoriou has published over forty articles on hedge funds and CTAs for peer–reviewed publications such as the Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, European Journal of Finance, and Journal of Asset Management. He is coauthor or coeditor of three books on hedge funds and CTAs: Performance Evaluation of Hedge Funds; Hedge Funds: Strategies, Risk Assessment, and Returns; and Commodity Trading Advisors: Risk, Performance Analysis, and Selection (Wiley).
JOE ZHU is Associate Professor of Operations in the Department of Management at Worcester Polytechnic Institute. Zhu received his PhD in industrial engineering and operations research from the University of Massachusetts Amherst. Zhu has published two books focusing on performance evaluation using Data Envelopment Analysis and has developed the DEAFrontier software. An associate editor of the Omega journal, he is an expert in methods of performance measurement. Dr. Zhu has published over forty refereed papers in journals such as Management Science, Operations Research, IIE Transactions, and the Journal of Operational Research Society.

Okładka tylna:
EVALUATING HEDGE FUND and CTA PERFORMANCE
Data Envelopment Analysis Approach
Introducing Data Envelopment Analysis (DEA): A quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commodity trading advisors.
"Quantitative analysis of hedge funds is a complex task considering the non–normality of their return distributions and failure of conventional approaches of benchmarking their performance using standard statistical techniques. This book by Gregoriou and Zhu does an excellent job of introducing the new approach of ′Data Envelopment Analysis,′ which should help everyone interested in analyzing hedge funds and managed futures. Highly recommended!"
—Vikas Agarwal, Assistant Professor of Finance J. Mack Robinson College of Business, G eorgia State University
"The analysis of hedge funds′ performance represents one of the youngest and most promising fields of portfolio management. With the powerful approach of DEA, the authors convincingly integrate alternative investments in robust portfolio selection. I believe this book represents an important milestone for the potential reconciliation of hedge funds with traditional investment vehicles."
—Georges H¿bner, Deloitte Professor of Financial Management University of Liège, Belgium; Associate Professor of Finance, Maastricht University, The Netherlands
"This book steps beyond the traditional trade–off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings."
—Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research