Our body of work

We truly enjoy learning from discussion with clients, hearing of their challenges, and thinking of new, hopefully helpful, perspectives.  Education is key to growing adoption of the strategies within our space, and we remain an active participant in that endeavor.

Books

  • Managed Futures for Institutional Investors (Bloomberg Press/Wiley, 2011)
  • The Treasury Bond Basis: An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs , 3rd ed. (McGraw-Hill, 2005)
  • The Eurodollar Futures and Options Handbook (McGraw-Hill, 2003)

Journals and Articles

  • Autocorrelation Effects on CTA and Equity Risk Measurement, The Journal of Alternative Investments (Summer 2013)
  • Managed Futures & Pension Funds: A Post-Crisis Assessment, Futures Industry (November 2011)
  • Measuring Market Impact: Transaction Cost Analysis Comes to the Futures Markets, Futures Industry (November 2006)
  • Measuring Market Impact and Liquidity, The Journal of Trading (Fall 2006)

Research Notes

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