@article {Brorsen57, author = {B. Wade Brorsen and John P. Townsend}, title = {Performance Persistence for Managed Futures}, volume = {4}, number = {4}, pages = {57--61}, year = {2002}, doi = {10.3905/jai.2002.319032}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This study examines whether some managed futures investments exhibit performance persistence in the sense that some have consistently higher returns than others. A small amount of performance persistence is found. In brief, there could be some advantage to picking CTAs based on past performance when a long time series of data is available and precise methods are used.}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/4/4/57}, eprint = {https://jai.pm-research.com/content/4/4/57.full.pdf}, journal = {The Journal of Alternative Investments} }