These papers are applicable to all traders:
- Position Sizing
- Zero-Sum Trading Paper
- Analysts' Bias
- David Hsieh and William Fung: Trend Following
- What Motivates Traders
- Babe Ruth and Accuracy
White Papers: Commodities
Managed Futures White Papers
Trend Following: Performance, Risk and Correlation Characteristics
Managed Futures: A Real Alternative
Managed Futures Trading and Futures Price Volatility
by Scott Irwin and Satoko Yoshimaru, Ohio State University, completed in May 1996.
How Do CTAs' Return Characteristics Affect Their Likelihood of Survival?
by Fernando Diz, Syracuse University, completed in November 1996.
Managed Futures, Hedge Fund and Mutual Fund Return Estimation: A Multi-Factor Approach
by Thomas Schneeweis and Richard Spurgin, University of Massachusetts, completed in May 1997.
Performance Persistence for Managed Futures
by B. Wade Brorsen, Oklahoma State University, completed in September 1997 and updated April 1998.
Survivorship Bias and Investment Style in the Returns of CTAs: The Information Content of Performance Track Records
by David A. Hsieh with William Fung, Journal of Portfolio Management, 24 (1997), 30-41.
Informational Content in Historical CTA Performance
by Thomas Schneeweis, Richard Spurgin, D. McCarthy, Journal of Futures Markets (May, 1997).
Comparisons of Commodity and Managed Futures Benchmark Indices
by Thomas Schneeweis, Richard Spurgin Journal of Derivatives (Summer, 1997).
Return Interval Selection and CTA Performance Analysis
by D. McCarthy, G. Martin, Derivatives Quarterly (Summer, 1997).
Multi-Factor Models in CTA/Hedge Fund Return Estimation
by T. Schneeweis, R. Spurgin Working Paper, CISDM/SOM, University of Massachusetts, 1996.
Information Arrival and Real Investment
by Kapadia, N, Working Paper (CISDM/SOM, University of Massachusetts, 1996).
Managed Futures and Hedge Fund Investment for Downside Equity Risk Management
by Thomas Schneeweis, Richard Spurgin, M. Potter, Derivatives Quarterly, Vol. 3, No. 1 (Fall, 1996).
