PT - JOURNAL ARTICLE AU - Greg N. Gregoriou AU - Stephen C. Henry TI - Undesirable Outputs in Commodities Trading Advisers: <em>A Data Envelopment Analysis Approach</em> AID - 10.3905/jwm.2015.17.4.085 DP - 2015 Jan 31 TA - The Journal of Wealth Management PG - 85--92 VI - 17 IP - 4 4099 - https://pm-research.com/content/17/4/85.short 4100 - https://pm-research.com/content/17/4/85.full AB - 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