Title: Application of data envelopment analysis on Indian gold ETFs

Authors: Satya Ranjan Acharya; Amit Kumar Dwivedi; Bhumika Darshak Panchal

Addresses: Entrepreneurship Development Institute of India (EDII), Via: Indira Bridge, P.O: Bhat-382428, Dist: Gandhinagar, Gujarat, India ' Entrepreneurship Development Institute of India (EDII), Via: Indira Bridge, P.O: Bhat-382428, Dist: Gandhinagar, Gujarat, India ' Entrepreneurship Development Institute of India (EDII), Via: Indira Bridge, P.O: Bhat-382428, Dist: Gandhinagar, Gujarat, India

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.

Keywords: gold ETFs; exchange traded funds; index ETFs; data envelopment analysis; DEA; India; commodity-based funds; standard deviation; maximum drawdown; annual returns; risk adjusted returns.

DOI: 10.1504/IJBCRM.2015.075779

International Journal of Business Continuity and Risk Management, 2015 Vol.6 No.2, pp.147 - 161

Received: 18 Jun 2015
Accepted: 23 Nov 2015
Published online: 04 Apr 2016 *

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