In this report, we use a new approach, data envelopment analysis (DEA), to evaluate the performance of commodity trading advisors (CTAS) using multiple criteria. Earlier studies have focused mainly on single criterion. After measuring the efficiency scores, we investigated the important determinants that affect the efficiencies of individual CTAS, using various specifications of tobit regression models. We find that during the up market, managers perform better and during the down market, CTAS using the systematic strategy perform better.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Darling, Gwenevere L.

Publisher

• Worcester Polytechnic Institute

Identifier

• 03A006M

Advisor

• Wilkens, Kathryn A.
• Mukherjee, Kankana

Year

• 2003

Date created

• 2003-01-01

Resource type

• Major Qualifying Project

Major

• Management Engineering

Rights statement

• In Copyright