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Evaluating Hedge Fund and CTA Performance
By Greg N. Gregoriou and Joe Zhu
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Evaluating Hedge Fund and CTA Performance explains the theory and principles of Data Envelopment Analysis (DEA) - a quantitative approach to assess the performance of hedge funds, funds of hedges and commodity trading advisors (CTAs) 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 seven different categories. Similar assessments are demonstrated for five live CTAs in six different categories. The accompanying CD-ROM contains DEAFrontier software so you can create spreadsheets, using other inputs and outputs and run various models to obtain efficiency scores for other funds.
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