Evaluating Hedge Fund and CTA Performance: Data Envelopment Analysis Approach

Preface. Acknowledgments. Chapter 1: Fund Selection and Data Envelopment Analysis. Introduction. Fund Selection. What Is Data Envelopment Analysis? Chapter 2: DEA Models. Introduction. DEA Model Calculation. Markowitz Model and Sharpe Ratio. Constant Returns--to--Scale DEA Model. Negative Data. DEAFrontier Excel Add--In. Solving DEA Model. Chapter 3: Classification Methods. Introduction. Returns--to--Scale Classification. Context--Dependent DEA. Chapter 4: Benchmarking Models. Introduction. Variable--Benchmark Model. Solving Variable--Benchmark Model. Fixed--Benchmark Model. Solving Fixed--Benchmark Model. Chapter 5: Data, Inputs, and Outputs. Description of Data. Methodology. Preparing the Data for DEAFrontier. Chapter 6: Application of Basic DEA Models. Introduction. Results. Conclusion. Chapter 7: Application of Returns--to--Scale. Introduction. Results. Conclusion. Chapter 8: Application of Context--Dependent DEA. Introduction. Results. Conclusion. Chapter 9: Application of Fixed-- and Variable--Benchmark Models. Introduction. Results. Conclusion. Chapter 10: Closing Remarks. References. Index. About the CD--Rom. About the Authors.