selected publications

• academic article

  • The Commodity Futures Risk Premium: 1871 – 2018.  SSRN Electronic Journal.  2019
  • The First Commodity Futures Index of 1933.  SSRN Electronic Journal.  2019
  • Facts and Fantasies About Commodity Futures Ten Years Later.  SSRN Electronic Journal.  2015
  • Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors.  Review of Financial Studies.  27:3099-3132. 2014
  • The Business Cycle and the Correlation Between Stocks and Commodities.  SSRN Electronic Journal.  2012
  • How Many Commodity Sectors Are There, and How Do They Behave?.  SSRN Electronic Journal.  2011
  • Subprime Mortgage Design.  SSRN Electronic Journal.  2011
  • Investment Case for Commodities? Myths and Reality.  SSRN Electronic Journal.  2010
  • Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of CTAs.  SSRN Electronic Journal.  2008

• blog posting

  • Investor Interest and the Returns to Commodity Investing.  SSRN Electronic Journal. 2016
  • Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors.  SSRN Electronic Journal. 2013
  • A Simulation Based Specification Test for Diffusion Processes.  SSRN Electronic Journal. 2008
  • A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects.  SSRN Electronic Journal. 2007