Undesirable Outputs in Commodities Trading Advisers: A Data Envelopment Analysis Approach

Abstract

This article uses data envelopment analysis (DEA) models to investigate CTA rankings using undesirable outputs. Many papers examining CTAs have used basic DEA models and have never addressed the issue of undesirable factors. This work attempts to use the theoretical model developed by Seiford and Zhu [2002] and apply it to CTAs during the period from 2009 to 2013. The results suggest that a traditional DEA will produce different rankings than an undesirable output model.

TOPICS: Commodities, futures and forward contracts, statistical methods, performance measurement