Evaluating Hedge Fund and CTA Performance
Data Envelopment Analysis ApproachBook - 2005
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!
Gregoriou (finance, SUNY, Plattsburgh) and Zhu (operations, Worcester Polytechnic Institute) explain the theory and principles of Data Envelopment Analysis (DEA), a quantitative approach to assessing hedge fund performance and commodity trading advisors. Using real-life applications, they describe DEA models, classification and benchmarking models, data, inputs and outputs. Tables give DEA evaluations of 20 live hedge funds in each of seven different categories and of five CTAs in six categories. The accompanying CD-ROM contains DEAFrontier software and examples of DEA models. Annotation ©2006 Book News, Inc., Portland, OR (booknews.com)