Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling

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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 tim...

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Detalles Bibliográficos
Autor: Tsolas, I. E.
Formato: artículo
Fecha de Publicación:2011
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/194794
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/194794
Nivel de acceso:acceso abierto
Materia:Data envelopment analysis
Efficiency
Generalized proportional distance function
Natural resources exchange traded funds
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Tsolas, I. E.2023-07-21T19:18:15Z2023-07-21T19:18:15Z2011https://repositorio.pucp.edu.pe/index/handle/123456789/194794The 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.engPontificia Universidad Católica del Perú. CENTRUMPEurn:issn:1851-6599info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Journal of CENTRUM Cathedra, Vol. 4, Issue 2reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPData envelopment analysisEfficiencyGeneralized proportional distance functionNatural resources exchange traded fundshttps://purl.org/pe-repo/ocde/ford#5.02.04Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modelinginfo:eu-repo/semantics/articleArtículoTHUMBNAILJCC-4.2-62.pdf.jpgJCC-4.2-62.pdf.jpgIM Thumbnailimage/jpeg30420https://repositorio.pucp.edu.pe/bitstreams/b5262746-a09c-4efa-890f-5c91ff3ab6ed/download060e0cb585603d332d34519e94ad87e4MD52falseAnonymousREADORIGINALJCC-4.2-62.pdfJCC-4.2-62.pdfTexto completoapplication/pdf152634https://repositorio.pucp.edu.pe/bitstreams/7f7d8627-b69f-4691-8988-55b1e2afc009/downloadbcbcae6162eeb4e21285022a3d0c054fMD51trueAnonymousREADTEXTJCC-4.2-62.pdf.txtJCC-4.2-62.pdf.txtExtracted texttext/plain63397https://repositorio.pucp.edu.pe/bitstreams/45b90471-de07-477a-b253-b0fd91d79d44/download81883801f0455baba339acecee9463d3MD53falseAnonymousREAD20.500.14657/194794oai:repositorio.pucp.edu.pe:20.500.14657/1947942025-04-11 09:58:18.554http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.fl_str_mv Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
title Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
spellingShingle Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
Tsolas, I. E.
Data envelopment analysis
Efficiency
Generalized proportional distance function
Natural resources exchange traded funds
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
title_full Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
title_fullStr Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
title_full_unstemmed Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
title_sort Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
author Tsolas, I. E.
author_facet Tsolas, I. E.
author_role author
dc.contributor.author.fl_str_mv Tsolas, I. E.
dc.subject.en_US.fl_str_mv Data envelopment analysis
Efficiency
Generalized proportional distance function
Natural resources exchange traded funds
topic Data envelopment analysis
Efficiency
Generalized proportional distance function
Natural resources exchange traded funds
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description 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.
publishDate 2011
dc.date.accessioned.none.fl_str_mv 2023-07-21T19:18:15Z
dc.date.available.none.fl_str_mv 2023-07-21T19:18:15Z
dc.date.issued.fl_str_mv 2011
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv https://repositorio.pucp.edu.pe/index/handle/123456789/194794
url https://repositorio.pucp.edu.pe/index/handle/123456789/194794
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:1851-6599
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eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.publisher.country.none.fl_str_mv PE
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.source.es_ES.fl_str_mv Journal of CENTRUM Cathedra, Vol. 4, Issue 2
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
instname_str Pontificia Universidad Católica del Perú
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Natural Resources Exchange Traded Funds: Performance Appraisal using DEA Modeling
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