The performance of commodity trading advisors: A mean-variance-ratio test approach
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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3221 https://doi.org/10.1016/j.najef.2012.06.010 |
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| Institution: | Singapore Management University |
| Language: | English |