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Document Type

Journal Article

Department/Unit

Department of Economics

Title

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

Language

English

Abstract

In this paper, we provide evidence that the mean-variance-ratio (MVR) test is superior to the Sharpe ratio (SR) test by applying both tests to analyze the performance of commodity trading advisors (CTAs). Our findings show that while the SR test concludes that most of the CTA funds being analyzed are indistinguishable in their performance, the MVR statistic shows that some funds outperformed others. Moreover, the SR statistic indicates that one fund significantly outperformed another even when the difference between the two funds was insignificant or even changed directions over sub-periods. Conversely, the MVR statistic can detect such changes when they occur in the sub-periods. In addition, we have conducted simulations to show that the MVR test possesses good power. © 2012 Elsevier Inc.

Keywords

Fund management, Hypothesis testing, Sharpe ratio, Uniformly most powerful unbiased test

Publication Date

2013

Source Publication Title

North American Journal of Economics and Finance

Volume

25

Start Page

188

End Page

201

Publisher

Elsevier

ISSN (print)

10629408

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