The performance of commodity trading advisors: A mean-variance-ratio test approach

• المؤلفون الرئيسيون: BAI, Zhidong, PHOON, Kok Fai, WANG, Keyan, WONG, Wing-Keung
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Sharpe ratio; hypothesis testing; uniformly most powerful unbiased test; fund management.; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3221; https://doi.org/10.1016/j.najef.2012.06.010
• المؤسسة: Singapore Management University

In this paper, we provide evidence that the mean-variance-ratio (MVR)test is superior the Sharpe Ratio (SR) test by applying both tests to analyze the performance of commodity trading advisors (CTAs). The findings show that while the SR test concludes that most of the CTA funds being analyzed are in...