Download or read book Measuring Commodity Hedge Funds Performance by Applying Data Envelopment Analysis DEA written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. The portfolio is leveraged and the risk is quite high. Forward and futures contracts have similarities in terms that they involve two parties to exchange a commodity, a currency or a bond at a specified price in the future. The costs of carry that characterize these contracts are insurance, storage and interest costs. Measuring efficiency have been made using non-parametric mathematical linear programming approaches such as data envelopment analysis, DEA, that enable efficiencies for each firm in an industry to be estimated relative to a dominant set of efficient firms with similar characteristics. The overall degree of efficiency in terms of risk and return in the commodity trading funds sectors is assessed by applying data envelopment analysis, DEA. DEA estimates efficiency in firms with multiple inputs and outputs. In our case, we are testing one input and one output. We are testing a sample of 10 different commodity hedge funds. As an input we use the annual standard deviations as a measure of risk and as an output we use logarithmic monthly returns. We try to find which commodity hedge funds companies lies on the efficient frontier in terms of increasing return to scale, constant return to scale and decreasing return to scale.
Download or read book Evaluating Hedge Fund and CTA Performance written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2005-05-06 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "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 Order your copy today!
Download or read book Performance Measurement of Hedge Funds Using Data Envelopment Analysis written by Martin Eling and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data envelopment analysis (DEA) is a nonparametric method from the area of operations research that measures the relationship of produced outputs to assigned inputs and determines an efficiency score. This efficiency score can be interpreted as a performance measure in investment analysis. Recent literature contains intensive discussion of using DEA to measure the performance of hedge funds, as this approach yields some advantages compared to classic performance measures. This paper extends the current discussion in three aspects. First, we present different DEA models and analyze their suitability for hedge fund performance measurement. Second, we systematize possible inputs and outputs for DEA and again examine their suitability for hedge fund performance measurement. Third, two rules are developed to select inputs and outputs in DEA of hedge funds. Using this framework, we find a completely new ranking of hedge funds compared to classic performance measures and compared to previously proposed DEA applications. Thus, we propose that classic performance measures should be supplemented with DEA based on the suggested rules to fully capture hedge fund risk and return characteristics.
Download or read book Data Envelopment Analysis written by Joe Zhu and published by Springer. This book was released on 2016-03-22 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook compiles state-of-the-art empirical studies and applications using Data Envelopment Analysis (DEA). It includes a collection of 18 chapters written by DEA experts. Chapter 1 examines the performance of CEOs of U.S. banks and thrifts. Chapter 2 describes the network operational structure of transportation organizations and the relative network data envelopment analysis model. Chapter 3 demonstrates how to use different types of DEA models to compute total-factor energy efficiency scores with an application to energy efficiency. In chapter 4, the authors explore the impact of incorporating customers' willingness to pay for service quality in benchmarking models on cost efficiency of distribution networks, and chapter 5 provides a brief review of previous applications of DEA to the professional baseball industry, followed by two detailed applications to Major League Baseball. Chapter 6 examines efficiency and productivity of U.S. property-liability (P-L) insurers using DEA, while chapter 7 presents a two-stage network DEA model that decomposes the overall efficiency of a decision-making unit into two components. Chapter 8 presents a review of the literature of DEA models for the perfoemance assessment of mutual funds, and chapter 9 discusses the management strategies formulation of the international tourist hotel industry in Taiwan. Chapter 10 presents a novel use of the two-stage network DEA to evaluate sustainable product design performances. In chapter 11 authors highlight limitations of some DEA environmental efficiency models, and chapter 12 reviews applications of DEA in secondary and tertiary education. Chapter 13 measures the relative performance of New York State school districts in the 2011-2012 academic year. Chapter 14 provides an introductory prelude to chapters 15 and 16, which both provide detailed applications of DEA in marketing. Chapter 17 then shows how to decompose a new total factor productivity index that satisfies all economically-relevant axioms from index theory with an application to U.S. agriculture. Finally, chapter 18 presents a unique study that conducts a DEA research front analysis, applying a network clustering method to group the DEA literature over the period 2000 to 2014.
Download or read book On the Use of Data Envelopment Analysis in Assessing Local and Global Performances of Hedge Funds written by Huyen Nguyen-Thi-Thanh and published by . This book was released on 2007 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria with direct control over the priority level paid to each criterion. By addressing main methodological issues regarding the use of DEA in evaluating hedge fund local and global performance, this paper attempts to provide investors sufficient guidelines for tailoring their own performance measure which reflect successfully their own preferences. Although these guidelines are formulated in the hedge fund context, they can also be applied to other kinds of investment funds.
Download or read book Commodity Trading Advisors written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2011-09-02 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
Download or read book Handbook on Data Envelopment Analysis written by William W. Cooper and published by . This book was released on 2014-01-15 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multidimensional Risk Performance Measurement for Hedge Funds written by Clement Boakye and published by . This book was released on 2016 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part A of the study uses Data Envelopment Analysis (DEA) from the field of Operations Research to analyze the performance of hedge funds. The analysis can be extended to other investment portfolios since the implementation of DEA does not require that your data be normally distributed like other conventional performance measures.Part B uses a multiple linear regression model of the form similar to a multi-factor Capital Asset Pricing Model to explain hedge fund exposures to various capital markets (if any). This method however assumes that the data is normally distributed. The results are only used as a guide in explaining hedge fund exposures and not for exact predictive purposes.
Download or read book Hedge Fund Modelling and Analysis using MATLAB written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2014-03-27 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second book in Darbyshire and Hampton’s Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB® takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB®. This allows for a more detailed analysis of some of the more computationally intensive and advanced topics, such as hedge fund classification, performance measurement and mean-variance optimisation. Darbyshire and Hampton’s first book in the series, Hedge Fund Modelling and Analysis Using Excel & and VBA, is seen as a valuable supplementary text to this book. Starting with an overview of the hedge fund industry the book then looks at a variety of commercially available hedge fund data sources. After covering key statistical techniques and methods, the book discusses mean-variance optimisation, hedge fund classification and performance with an emphasis on risk-adjusted return metrics. Finally, common hedge fund market risk management techniques, such as traditional Value-at-Risk methods, modified extensions and expected shortfall are covered. The book’s dedicated website, www.darbyshirehampton.com provides free downloads of all the data and MATLAB® source code, as well as other useful resources. Hedge Fund Modelling and Analysis Using MATLAB® serves as a definitive introductory guide to hedge fund modelling and analysis and will provide investors, industry practitioners and students alike with a useful range of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management.
Download or read book Performance Analysis of Distressed Securities Hedge Funds written by Daniel Zumbühl and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Distressed securities hedge funds witnessed a tremendous inflow of capital over the past two decades. The key driver of this success is a simple, yet compelling investment strategy: acquisition of securities issued by companies in financial distress from current investors which hold these securities involuntarily and are therefore under pressure to sell them. Hence, hedge funds are able to buy distressed securities at deep discounts to face value. Certain characteristics of this investment strategy, such as the illiquidity of investment objects and an elevated likelihood of liquidation, cause return patterns which do not satisfy crucial statistical preconditions of traditional performance measures. Consequently, this paper suggests that Data Envelopment Analysis (DEA), a non-parametric method from the area of operations research, be applied as the performance measure of choice for investors in distressed securities hedge funds. We show that several DEA modifications allow investors to conduct in-depth analyses of the performance of these hedge funds according to their individual requirements. Employing the proposed DEA models, we analyze the performance of 138 hedge funds over a total period of 16 years. From our findings, we derive ten basic guidelines for investors in distressed securities hedge funds.
Download or read book Handbook of Operations Analytics Using Data Envelopment Analysis written by Shiuh-Nan Hwang and published by Springer. This book was released on 2016-07-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook focuses on Data Envelopment Analysis (DEA) applications in operations analytics which are fundamental tools and techniques for improving operation functions and attaining long-term competitiveness. In fact, the handbook demonstrates that DEA can be viewed as Data Envelopment Analytics. Chapters include a review of cross-efficiency evaluation; a case study on measuring the environmental performance of OECS countries; how to select a set of performance metrics in DEA with an application to American banks; a relational network model to take the operations of individual periods into account in measuring efficiencies; how the efficient frontier methods DEA and stochastic frontier analysis (SFA) can be used synergistically; and how to integrate DEA and multidimensional scaling. In other chapters, authors construct a dynamic three-stage network DEA model; a bootstrapping based methodology to evaluate returns to scale and convexity assumptions in DEA; hybridizing DEA and cooperative games; using DEA to represent the production technology and directional distance functions to measure band performance; an input-specific Luenberger energy and environmental productivity indicator; and the issue of reference set by differentiating between the uniquely found reference set and the unary and maximal types of the reference set. Finally, additional chapters evaluate and compare the technological advancement observed in different hybrid electric vehicles (HEV) market segments over the past 15 years; radial measurement of efficiency for the production process possessing multi-components under different production technologies; issues around the use of accounting information in DEA; how to use DEA environmental assessment to establish corporate sustainability; a summary of research efforts on DEA environmental assessment applied to energy in the last 30 years; and an overview of DEA and how it can be utilized alone and with other techniques to investigate corporate environmental sustainability questions.
Download or read book Hedge Fund Modelling and Analysis Using Excel and VBA written by Paul Darbyshire and published by John Wiley & Sons. This book was released on 2012-02-23 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments. The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA. The book's dedicated website, www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources. A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.
Download or read book Data Envelopment Analysis written by D. Chai and published by . This book was released on 2014-03-31 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling Performance Measurement written by Wade D. Cook and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is felt that these concrete examples will be of value to researchers, students, and practitioners."--Jacket.
Download or read book Performance Managerial Skill and Factor Exposures in Commodity Trading Advisors and Managed Futures Funds written by S. Burcu Avci and published by Dissertation.com. This book was released on 2019-10-15 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008 financial crisis revealed, however, that higher yields on these instruments came with higher risk, albeit too late for these investors. This study seeks to understand the risk–return tradeoff, managerial skill, and factor exposures on the risk-return tradeoff in two financial instruments that have been limitedly investigated: commodity trading advisors (CTAs) and managed futures funds (MFFs). This study begins by documenting the differences between CTAs/MFFs and hedge funds and mutual funds, starting with the legal and operational differences. Next, it conducts a performance analysis, which indicates that CTAs and MFFs, as standalone investment vehicles, provide returns that are higher than the average market returns in bear markets, while carrying lower risk. The strong standing of CTAs and MFFs in bear markets earn them their reputation as “downside risk protectors.” CTAs and MFFs are profitable individual assets but adding these funds to classical asset portfolios enhances portfolio performance significantly. This feature makes them strong hedging assets. As expected, their performance is below that of standard assets in up markets. Chapter 4 finds that the superior performance of CTAs and MFFs can be explained by managerial skill. Positive and significant Jensen alphas are evidence of good performance; moreover, the persistence of the Jensen alphas is supported by both parametric and non-parametric tests. Incentive fees and fund age are found to be positively related to managerial skill, while (somewhat surprisingly) management fees are found to be negatively related to it. Chapter 5 finds that many financial and macroeconomic factors are statistically unrelated to CTA and MFF performance. However, the value premium (HML) factor and industrial production growth (IPG) are correlated with their performance. HML has a relation effect on one-month-ahead fund returns, whereas IPG has a negative association with them. Nonparametric tests support these results marginally. Overall, these findings suggest that both CTAs and MFFs use well-known and well-established predictors of expected returns to generate their alphas.
Download or read book Performance Evaluation of Hedge Funds written by Greg N. Gregoriou and published by Beard Books. This book was released on 2003 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains incisive articles dealing with quantitative and qualitative analyses of hedge funds.
Download or read book Quantitative Hedge Funds Discretionary Systematic Ai Esg And Quantamental written by Richard Bateson and published by World Scientific. This book was released on 2022-10-04 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Welcome to the secretive club of modern hedge funds, where important players in the world of investing and capital markets have invested close to $4 trillion globally.If you're intrigued by the inner workings of hedge funds, investment techniques and technologies they use to source investment alpha, this book is for you. Focusing on the author's three decades of trading experience at leading banks and hedge funds, it covers both discretionary and computer-driven strategies and perspectives on AI-based and quantamental investing using new alternative data, which includes numerous examples and insights of real trades and investment strategies. No mathematical knowledge is required, with the relevant algorithms detailed in the appendices.Discretionary investing details equity and credit investing across the corporate capital structure. Through trading equities, bonds and loans, event-driven trades can target profitable special situations and relative value opportunities. Systematic trading involves computer-driven strategies derived from a scientific and statistical analysis of liquid markets. The investment strategies of both commodity trading advisors (CTAs) and long/short equity funds are detailed, from trend-following to factor-based approaches. AI investing is fashionable but does the reality for hedge funds correspond to the AI hype present in other non-financial domains? AI using neural nets and other machine learning techniques are outlined along with their practical application in regards to investing.Quantitative Hedge Funds also discusses environmental, social and governance (ESG) investing, which has rapidly evolved as the public and institutions demand solutions to global problems such as climate change, pollution and unethical labour practices. ESG investment strategies are migrating out of the long-only space and into hedge funds.Finally, the advent of big data has led to multiple alternative datasets available for hedge fund managers. The integration of alternative data into the investment process is discussed, together with the rise of so-called quantamental investing, a hybrid of the best of human skill and computer-based technologies.Related Link(s)
