Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach + CD-ROM
Editorial Reviews
Book Description
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!
From the Inside Flap
Many pension funds, endowment funds, institutional investors, and individuals include hedge funds, funds of hedge funds (FOFs), and commodity trading advisors (CTAs) in their portfolios for diversification and downside protection. However, choosing from thousands of hedge funds and CTAs is complicated because standard market indices do not accurately depict their performance or facilitate comparison.
Data Envelopment Analysis (DEA) is a complementary performance measure that:
Evaluating Hedge Fund and CTA Performance explains the theory and principles of DEA with information on:
It goes beyond explanations to real-life applications of returns to scale, context dependent DEA, and fixed and variable benchmark models. Tables give DEA evaluations of twenty live hedge funds in each of seven different categories. Similar assessments are demonstrated for five live CTAs in six different categories.
The accompanying CD-ROM gives you the software to analyze funds you're interested in.
The CD-ROM shows examples of DEA models in the book and gives you DEAFrontier software so you can create spreadsheets, using other inputs and outputs, and run the various models to obtain efficiency scores for other funds. The DEA technique can also be used in asset allocation, portfolio selection, financial planning, and other applications.
Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach + CD-ROM
Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach + CD-ROM,Greg N. Gregoriou,Joe Zhu,Wiley,0471681857,Business & Economics,Business / Economics / Finance,Business/Economics,Data envelopment analysis,Evaluation,Finance,Hedge funds,Investments & Securities - Futures,Business & Economics / Finance,Investment & securities
Book Details:
Recommended Books