TY - JOUR T1 - Performance Persistence for Managed Futures JF - The Journal of Alternative Investments SP - 57 LP - 61 DO - 10.3905/jai.2002.319032 VL - 4 IS - 4 AU - B. Wade Brorsen AU - John P. Townsend Y1 - 2002/03/31 UR - https://pm-research.com/content/4/4/57.abstract N2 - 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. ER -