Greg N. Gregoriou & Joe Zhu 
Evaluating Hedge Fund and CTA Performance 
Data Envelopment Analysis Approach

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

Order your copy today!

Inhaltsverzeichnis

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.

Über den Autor

GREG N. GREGORIOU is Assistant Professor of Finance and coordinator
of faculty research in the School of Business and Economics at the
State University of New York (Plattsburgh). He received his BA in
economics from Concordia University and his MBA and Ph D in finance
from the University of Quebec at Montreal. He is an associate with
the Peritus Group in Montreal and the hedge fund editor and an
editorial board member for Derivatives Use, Trading and Regulation
(London). Gregoriou has published over forty articles on hedge
funds and CTAs for peer-reviewed publications such as the Journal
of Futures Markets, European Journal of Operational Research,
Annals of Operations Research, European Journal of Finance, and
Journal of Asset Management. He is coauthor or coeditor of three
books on hedge funds and CTAs: Performance Evaluation of Hedge
Funds; Hedge Funds: Strategies, Risk Assessment, and Returns; and
Commodity Trading Advisors: Risk, Performance Analysis, and
Selection (Wiley).

JOE ZHU is Associate Professor of Operations in the Department
of Management at Worcester Polytechnic Institute. Zhu received his
Ph D in industrial engineering and operations research from the
University of Massachusetts Amherst. Zhu has published two books
focusing on performance evaluation using Data Envelopment Analysis
and has developed the DEAFrontier software. An associate editor of
the Omega journal, he is an expert in methods of performance
measurement. Dr. Zhu has published over forty refereed papers in
journals such as Management Science, Operations Research, IIE
Transactions, and the Journal of Operational Research Society.