Survivor bias in commodity trading advisor performance

Journal of Futures Markets

Volumn 16, Issue 7, 1996, Pages 757-772

  Schneeweis, Thomas ^a,b   Spurgin, Richard ^c   McCarthy, David ^d  

^a UNIVERSITY OF MASSACHUSETTS   (United States)

^b UNIVERSITY OF MASSACHUSETTS   (United States)

^c CLARK UNIVERSITY   (United States)

^d Global Asset Management   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030493681     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199610)16:7<757::AID-FUT2>3.0.CO;2-N     Document Type: Article

References (13)

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3. Elton, E. J., Gruber, M. J., and Rentzler, J. C. (1992): "The Performance of Publicly Offered Commodity Funds," in Managed Futures, Peters, C. C., Probus, pp. 387-401.
4. Epstein, C., ed. (1992): Managed Futures in the Institutional Portfolio. New York: Wiley.
5. Irwin, S. (1994): "Further Evidence on the Usefulness of CTA Performance Information in Public Commodity Pool Prospectuses and a Proposal for Reform," Advances in Futures and Options Research, 7:251-264.
6. Irwin, S., Krukemyer, T., and Zulauf, C. (1992): "Are Public Commodity Pools Good Investments," in Managed Futures, Peters, C. C. (ed.), Probus, pp. 405-434.
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8. Irwin, S., Zulauf, C., and Ward, B. (1994): "The Predictability of Managed Futures Returns," Journal of Derivatives, 20-27.
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10. Peterson, P. (1989): "Event Studies: A Review of Issues and Methodolog," Quarterly Journal of Economics and Business, 28(3):36-67.
11. Schneeweis, T., Savanayana, U., and McCarthy, D. (1991): "Alternative Commodity Trading Vehicles: A Performance Analysis" The Journal of Futures Markets, 475-490.
12. Schneeweis, T., Savanayana, U., and McCarthy, D. (1992): "Multi-Manager Commodity Portfolios: A Risk/Return Analysis," in Managed Futures, Peters, C. C. (ed.), New York Wiley, pp. 81-102.
13. Shukla, R., and Trzcinka, C. (1992): "Performance Measurement of Managed Portfolios," Financial Markets Institutions and Instruments, 1:4, Salomon Center.