Managed Futures for Long-Term Investors: A DEA Ranking Analysis

This study proposes an alternative Data Envelopment Analysis ranking model to evaluate the relative performance efficiency of commodity-trading advisors. I measure the performance efficiency using the decision-making process quality/trading skills framework and depart from the traditional riskreturn framework. The Data Envelopment Analysis rankings produced some interesting results. First, similarly to the previous studies, I successfully isolated two superstar commodity-trading advisors with the highest Sharpe ratios as the Grade A commodity-trading advisors. However, as an improvement over the similar studies that used the traditional riskreturn framework, I also isolated two commodity-trading advisors with average and below-average Sharpe ratios as Grade A commodity-trading advisors.