IDEAS home Printed from https://ideas.repec.org/a/ids/ijbcrm/v6y2015i2p147-161.html
   My bibliography  Save this article

Application of data envelopment analysis on Indian gold ETFs

Author

Listed:
  • Satya Ranjan Acharya
  • Amit Kumar Dwivedi
  • Bhumika Darshak Panchal

Abstract

This research article investigates efficacy of five gold exchange traded funds (ETFs) vis-a-vis four index ETFs during 2009 to 2013. The objective is to analyse the performances of commodity-based funds. The prices of ETFs are collected from their respective websites and were selected based on the time period of analysis. The analysis is done with the help of data envelopment analysis (DEA). The standard deviation (risk) and maximum drawdown has been taken as input variable; annual return and risk adjusted return has been taken as output variables. The analysis clearly identified that index funds are performing better in compare to gold funds. Index ETFs are efficient in reducing the risk, whereas gold ETFs are efficient in increasing the returns.

Suggested Citation

  • Satya Ranjan Acharya & Amit Kumar Dwivedi & Bhumika Darshak Panchal, 2015. "Application of data envelopment analysis on Indian gold ETFs," International Journal of Business Continuity and Risk Management, Inderscience Enterprises Ltd, vol. 6(2), pages 147-161.
    • Handle: RePEc:ids:ijbcrm:v:6:y:2015:i:2:p:147-161
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=75779
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ioannis E. Tsolas, 2022. "Performance Evaluation of Utility Exchange-Traded Funds: A Super-Efficiency Approach," JRFM, MDPI, vol. 15(7), pages 1-10, July.
    2. Carla O. Henriques & Maria E. Neves & Jeremias A. Conceição & Elisabete S. Vieira, 2023. "Performance of US and European Exchange Traded Funds: A Base Point-Slack-Based Measure Approach," JRFM, MDPI, vol. 16(2), pages 1-34, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbcrm:v:6:y:2015:i:2:p:147-161. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=333 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.