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Published Research
Title |
Author |
Publisher |
Download |
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Understanding Hedge Fund Performance: Research Results and Rules of Thumb for the Institutional Investor |
H. Kazemi, G. Martin, T. Schneeweis |
Lehman Brothers |
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Merger Arbitrage: Evidence of Profitability |
T. Yang, B. Branch |
Journal of Alternative Investments, Fall 2001 |
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Revealing the Market Price of Risk from the Short-Term Rate Process |
G. Georgiev, J. Jung, H. Kazemi and M. Mahdavi |
Studies in Economics and Finance |
Please contact us |
The Benefits of Commodity Investment |
Georgi Georgiev |
Journal of Alternative Investments, Summer 2001 |
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A Study of Survival: Commodity Trading Advisors, 1988-1996 |
R. Spurgin, T. Schneeweis |
Journal of Alternative Investments, Winter 2000 |
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Making Sense of Hedge Funds: What Matters and What Doesn't. |
George Martin |
Derivatives Strategy, 2000 |
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Alternative Investments in the Institutional Portfolio |
T. Schneeweis, R. Spurgin |
Summary Document, AIMA, 1999 |
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A Benchmark for Commodity Trading Advisor Performance |
R. Spurgin |
Journal of Alternative Investments, Fall 1999 |
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Time-Varying Risk and Return in the Bond Market: A Test of New Equilibrium Pricing Model |
H. Kazemi, C. Campbell, P. Nanisetty |
Review of Financial Studies (1999) |
Please contact us |
Alpha, Alpha, Who's Got the Alpha? |
T. Schneeweis |
Journal of Alternative Investments, Winter, 1999 |
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Quantitative Analysis of Hedge Fund and Managed Futures Return and Risk Characteristics |
T. Schneeweis, R. Spurgin |
R. Lake ed., Evaluating and Implementing Hedge Fund Strategies, 1999 |
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Efficient Estimation of Intraday Volatility: A Method-of-Moments Approach Incorporating the Trading Range. |
R. Spurgin, T. Schneeweis |
P. Lequeux ed., Financial Markets Tick by Tick, 1998 |
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Classification of Commodity Trading Advisors (CTAs) Using Maximum Likelihood Factor Analysis |
T. Mitev |
Journal of Alternative Investments, Fall 1998 |
Please contact us |
Multi-Factor Models of Hedge Fund, Managed Futures, and Mutual Fund Return and Risk Characteristics |
T. Schneeweis, R. Spurgin |
Journal of Alternative Investments, Fall, 1998 |
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Naïve and Optimal Diversification for Managed Futures |
Thomas Henker and George Martin |
Journal of Alternative Investments, Fall, 1998 |
Please contact us |
Distressed Investor Performance: A Look at the Early 1990s |
Philip Russel and Ben Branch |
Journal of Alternative Investments, Fall, 1998 |
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Recent Developments in International Asset Allocation and Currency Risk Management |
Hossein Kazemi |
Journal of Alternative Investments, Summer, 1998 |
Please contact us |
Dealing with Myths of Hedge Funds |
Thomas Schneeweis |
Journal of Alternative Investments, Summer, 1998 |
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A Review of Hedge Fund Performance Benchmarks |
David McCarthy, Richard Spurgin |
Journal of Alternative Investments, Summer, 1998 |
Please contact us |
Private Debt: Past, Present, and Future: Part 1 |
George Martin |
Journal of Alternative Investments, Summer, 1998 |
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Managed Futures, Hedge Fund and Mutual Fund Performance: An Equity Class Analysis |
Richard Spurgin |
Journal of Alternative Investments, Summer, 1998 |
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Skewness in Asset Returns: Does it Matter? |
George Martin and Richard Spurgin |
Journal of Alternative Investments, Fall, 1998 |
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Skewness in Asset Returns: Does it Matter? |
George Martin and Richard Spurgin |
Journal of Alternative Investments, Fall, 1998 |
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Closed-End Country Fund Performance A Cross-Country Comparison |
Thomas Schneeweis, Richard Spurgin, W. Dinning |
Journal of Alternative Investments, Fall, 1998 |
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Informational Content in Historical CTA Performance |
Thomas Schneeweis, Richard Spurgin, D. McCarthy |
Journal of Futures Markets May, 1997 |
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Comparisons of Commodity and Managed Futures Benchmark Indices |
Thomas Schneeweis, Richard Spurgin |
Journal of Derivatives Summer, 1997 |
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Return Interval Selection and CTA Performance Analysis |
D. McCarthy, G. Martin |
Derivatives Quarterly, Summer, 1997 |
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Survivor Bias in Commodity Trading Advisor Performance |
Thomas Schneeweis, Richard Spurgin, D. McCarthy |
Journal of Futures Markets October, 1996 |
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Investment in CTAs An Alternative Managed Futures Investment |
D. McCarthy, Thomas Schneeweis, Richard Spurgin |
Journal of Derivatives, Summer, 1996 |
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Managed Futures and Hedge Fund Investment for Downside Equity Risk Management |
Thomas Schneeweis, Richard Spurgin, M. Potter |
Derivatives Quarterly, Fall, 1996 |
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International Convergence of Interest Rates |
H. Kazemi, D. Warotamasikkhadit |
Global Finance Journal, 1996 |
Please contact us |
Optimal Hedging Strategy when Spot and Futures Prices Follow Time-Varying Processes |
H. Kazemi, A. Altay, V. A. Nageswaran |
The Journal of Financial Engineering, 1996 |
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Corporate Performance and Firm Perception The British Experience |
Thomas Schneeweis , Sudhir Nanda, Kristina Eneroth |
European Financial Management Journal, Vol. 2, No. 2 (1996) |
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Corporate Ethics and Shareholder Wealth Maximization |
Nelson Lacey, Donald Chambers |
Financial Practice and Education, 1996 |
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The Effectiveness of the CAC40 in Investment Risk/Return Management |
H. Geman, Thomas Schneeweis |
R. Aggerwal ed. Global Investment Management (Academic Press, 1995) |
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Financial Futures Markets |
Thomas Schneeweis, Jot Yau |
D. Logue ed. Handbook of Financial Markets (Warren, Gorham, Lamont, 1995) |
Please contact us |
Return Generating of Long-term Bonds and Measurement of Risk: Theory and Empirical Tests |
Hossein Kazemi, Nikolas Milonas, P. Nanisetty |
The Review of Quantitative Finance and Accounting Vol. 5 (1995) |
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Mean Reversion, Random Walk and Jumps in Real Exchange Rates |
Hossein Kazemi, Mahnaz Mahdavi |
International Journal of Finance Vol. 7 (1995) |
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U.S. Banking Regulations: Lessons For Central and Eastern Europe |
Nelson Lacey |
The Jagiellonian University Press, Krakow, Poland (1995) |
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Market Microstructure Empirical Regularities: Behavior of the Bid-Ask Spread and Closing Prices |
Ben Branch, D. Echeverria |
Financial Review, August, 1995 |
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Performance Evaluation Models in Exchange Rate Futures |
Jot Yau, Thomas Schneeweis |
Journal of Multinational Financial Management Vol. 4, No. 1/2, 1994 |
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Jump-Diffusion Processes in the Foreign Exchange Markets and The Release of Macroeconomic News |
Gordon Johnson , Thomas Schneeweis |
Journal of Computational Economics Vol. 7, 1994 |
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Option Wagering in Point Spread Betting Markets |
Nelson Lacey, Donald Chambers |
The Journal of Derivatives, Volume 2, Number 1, Fall 1994 |
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First Tests of Market Efficiency in Poland |
Nelson Lacey |
Krakow Academy of Economics Press, Krakow, Poland, 1994 |
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Tactical Asset Allocation: Can it Work |
Ben Branch, Joong-Soo Nam |
Journal of Financial Research, Winter, 1994 |
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Financial Futures Markets |
Thomas Schneeweis, Jot Yau |
D. Logue ed. Handbook of Modern Finance; Warren, Gorham, Lamont, 1993 ; chapter 10 |
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The French Notional Futures Contract in Risk/Return Management |
Thomas Schneeweis, Helyette Geman |
International Review of Financial Analysis, Vol. 2, No. 1, 1993 |
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Closed-End Country Funds Exchange Rate and Investment Risk |
Gordon Johnson, Thomas Schneeweis, W. Dinning |
Financial Analyst Journal, 1993 |
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Convexity, Risk, and Return |
Nelson Lacey, Sanjay Nawalkha |
Journal of Fixed Income, December 1993 |
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Multi-Manager Commodity Portfolios A Risk/Return Analysis |
D. McCarthy, U. Savanayana, Thomas Schneeweis |
Epstein ed. Managed Future in the Institutional Portfolio, Wiley, 1992 |
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Immunizing Bond Portfolios in a Multiple Term Structure Economy |
Nelson Lacey, Sanjay Nawalkha |
International Review of Economics and Finance, Volume 1, Number 3, 1992 |
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Convexity For Bonds With Special Cash Flow Streams |
Nelson Lacey, Sanjay Nawalkha |
Financial Analysts Journal, Volume 47, Number 1, 1992 |
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Multi-Manager Commodity Portfolios A Risk/Return Analysis |
D. McCarthy, U. Savanayana, Thomas Schneeweis |
C. Epstein ed. Managed Future in the Institutional Portfolio, Wiley, 1992 |
Please contact us |
Alternative Performance Models in Interest Rate Futures |
Jot Yau, Uttama Savanayana, Thomas Schneeweis |
B. Goss ed. Rational Expectations and Efficiency in Futures Markets, Routledge, 1992 |
Please contact us |
Trading/Non-Trading and Informational Effects in U.S. Treasury Bond Futures |
J. Yau and U. Savanayana, Thomas Schneeweis |
S. Koury ed. Recent Developments in International Banking and Finance Volume VI, Blackwell, 1992 |
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Alternative Commodity Trading Vehicles A Performance Analysis |
D. McCarthy, U. Savanayana, Thomas Schneeweis |
of Futures Markets, August, 1991 |
Please contact us |
International Trading Time/Non-Trading Time Effects in French Futures Markets |
H. Geman, U. Savanayana, Thomas Schneeweis |
J. Ronen, ed. Accounting and Financial Globalization, Quorum, New York, New York, 1991 |
Please contact us |
The Impact of Bid-Ask Spreads on Market Anomalies |
Ben Branch, David Echeverria |
Financial Review, May, 1991 |
Please contact us |
Alternative Commodity Trading Vehicles A Performance Analysis |
D. McCarthy, U. Savanayana, Thomas Schneeweis |
Journal of Futures Markets, August, 1991 |
Please contact us |
International Trading Time/Non-Trading Time Effects in French Futures Markets |
H. Geman, U. Savanayana, Thomas Schneeweis |
J. Ronen, ed. Accounting and Financial Globalization, Quorum, New York, 1991 |
Please contact us |
International Diversification A Further Analysis |
Joanne Hill, Thomas Schneeweis, Jot Yau |
Advances in Financial Planning and Forecasting International Dimensions, Volume 4 1990 |
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The Effect of Alternative Return Measures in Financial Futures Research |
Thomas Schneeweis, J. Yau, U. Savanayana |
Frank Fabozzi ed. Advances in Futures and Options Research, Vol. 4, 1990 |
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Close-Form Solutions of Convexity and M-Square |
Sanjay Nawalkha, Nelson Lacey, Thomas Schneeweis |
Financial Analyst Journal, January/February, 1990 |
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International Trading Time/Non-Trading Time Effects on Risk Estimation in Futures Markets |
J. Hill , Thomas Schneeweis, J. Yau |
Journal of Futures Markets, August, 1990 |
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Financial Futures Markets International Dimensions |
Thomas Schneeweis, Jot Yau |
D. Logue ed. Handbook of Modern Finance (Warren Gorham and Lamont, 1990), 12.1-12.15 |
Please contact us |
The Analysis of the Effectiveness of the Nikkei 225 Futures Contract in Risk-Return Management |
Jot Yau, J. Hill, Thomas Schneeweis |
Global Finance Journal, Fall, 1990 |
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The Effect of Alternative Return Measures in Financial Futures Research |
Thomas Schneeweis, J. Yau, U. Savanayana |
Frank Fabozzi ed. Advances in Futures and Options Research, Vol. 4, 1990 |
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Generalized Solutions of Higher Order Duration Measures |
Nelson Lacey, Sanjay Nawalkha |
Journal of Banking and Finance, Volume 14, 1990 |
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Market Driven Real Interest Rates |
Nelson Lacey |
The Review of Research in Banking and Finance, Volume 6, Number 1, 1990 |
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An Examination of Market Efficiency in the NFL Point Spread Betting Market |
Nelson Lacey |
Applied Economics, Vol. 22, 1990 |
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More Generalized Hedging Models for Options |
Nelson Lacey, Donald Chambers |
Managing Institutional Assets, 1990, Harper and Row, New York |
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Perceptions of Management Quality and Firm Performance: Does Management Make a Difference |
Thomas Schneeweis, Jean McGuire, Ben Branch |
Journal of Management Vol. 6, No. 2, 1990 |
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Hedge Fund/CTA Database
