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

• Main Authors: BAI, Zhidong, PHOON, Kok Fai, WANG, Keyan, WONG, Wing-Keung
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2013
• 主題: Sharpe ratio; hypothesis testing; uniformly most powerful unbiased test; fund management.; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3221; https://doi.org/10.1016/j.najef.2012.06.010

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...