Multifactor Analysis of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics

This publication has 8 references indexed in Scilit:

• Managed Futures, Hedge Fund, and Mutual Fund Performance
  The Journal of Alternative Investments, 1998
• Informational content in historical CTA performance
  Journal of Futures Markets, 1997
• Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
  The Review of Financial Studies, 1997
• Smith Breeden Prizes for 1995
  The Journal of Finance, 1996
• Fundamental Economic Variables, Expected Returns, and Bond Fund Performance
  The Journal of Finance, 1995
• Technical Trading
  The Journal of Derivatives, 1994
• Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors
  Journal of Banking & Finance, 1993
• Asset allocation
  The Journal of Portfolio Management, 1992