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Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements

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  • Adam Zaremba
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    Article provided by University of Finance and Management in Warsaw in its journal Contemporary Economics.

    Volume (Year): 4 (2010)
    Issue (Month): 4 (December)
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    Handle: RePEc:wyz:journl:id:197

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    1. Geetesh Bhardwaj & Gary Gorton & K. Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," Yale School of Management Working Papers amz2429, Yale School of Management.
    2. Stephen J. Brown, 2001. "Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry," Journal of Finance, American Finance Association, vol. 56(5), pages 1869-1886, October.
    3. Liang, Bing, 2000. "Hedge Funds: The Living and the Dead," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(03), pages 309-326, September.
    4. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, vol. 54(3), pages 833-874, 06.
    5. Brown, Stephen J, et al, 1992. "Survivorship Bias in Performance Studies," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 553-80.
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