Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling

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Fecha

2011

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Editor

Pontificia Universidad Católica del Perú. CENTRUM

DOI

Resumen

The purpose of this paper is to evaluate the performance of a sample of natural resources exchange traded funds (ETFs) by applying a two-stage procedure. In the first stage, the generalized proportional distance function (GPDF) in the data envelopment analysis (DEA) context is used for the first time to measure the relative efficiency of sectoral ETFs. In the second stage, a Tobit model is employed to identify the drivers of performance. The results indicate there is scope for efficiency improvement for about half or more of the sample funds depending on the variables used in the assessments, and fund performance can be explained by fund persistence and the beta coefficient.

Descripción

Palabras clave

Data envelopment analysis, Efficiency, Generalized proportional distance function, Natural resources exchange traded funds

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Licencia Creative Commons

Excepto se indique lo contrario, la licencia de este artículo se describe como info:eu-repo/semantics/openAccess