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Evaluating Hedge Fund and CTA Performance

Data Envelopment Analysis Approach

Evaluating Hedge Fund and CTA Performance by Greg N. Gregoriou
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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

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Wiley; May 2005
178 pages; ISBN 9780471730040
Read online, or download in secure PDF format
Title: Evaluating Hedge Fund and CTA Performance
Author: Greg N. Gregoriou; Joe Zhu
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