Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling

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dc.contributor.authorTsolas, I. E.
dc.date.accessioned2023-07-21T19:18:15Z
dc.date.available2023-07-21T19:18:15Z
dc.date.issued2011
dc.description.abstractThe 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.en_US
dc.identifier.urihttps://repositorio.pucp.edu.pe/index/handle/123456789/194794
dc.language.isoeng
dc.publisherPontificia Universidad Católica del Perú. CENTRUM
dc.publisher.countryPE
dc.relation.ispartofurn:issn:1851-6599
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttp://creativecommons.org/licenses/by/4.0*
dc.sourceJournal of CENTRUM Cathedra, Vol. 4, Issue 2
dc.subjectData envelopment analysisen_US
dc.subjectEfficiencyen_US
dc.subjectGeneralized proportional distance functionen_US
dc.subjectNatural resources exchange traded fundsen_US
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.04
dc.titleNatural Resources Exchange Traded Funds: Performance Appraisal using DEA Modelingen_US
dc.typeinfo:eu-repo/semantics/article
dc.type.otherArtículo

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Journal of CENTRUM Cathedra. Vol. 04, Issue 02