Abstract
This paper investigates the trading efficiency of commodity trading advisors (CTAs) during the period January 1998–June 2004. The 90 largest CTAs are analysed using the basic Data Envelopment Analysis (DEA) model, followed by the cross-efficiency and super-efficiency models. A detailed efficiency analysis of CTAs is provided, and the results indicate that only a handful of CTAs are efficient in terms of minimising trading to attain the highest compounded return.
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