These research papers are a collection of either papers Tom Basso has done over the years or research by others that Tom found useful.
Trading
Up, Down, Inside and Outside -Days Spent in Various Types of Price Action by Tom Basso
A study of close to 6,000 days of stock market price action and the breakdown of those days’ price action.
Relationship between ATR and Standard Deviation by Robert Carver
Robert Carver publishes an interesting study of the relationship between Standard Deviation and Average True Range (ATR)to measure volatility
Timing The Market Makes More Sense Than Buy & Hold
Why you should consider timing the market, unlike what the many tell you.
Ten Rules When Investing Improve Performance
Why you should consider timing the market, unlike what the many tell you.
A Little Leverage Is Good, Too Much Dangerous
A little leverage is optimal, too much is dangerous
Currencies Add Value To Your Portfolio
Describes the value of adding currency trading to your portfolio
Percent Time Spent Up Down Sideways
This study was done to determine the time that the S&P500 has spent in up, down and sideways market condition.
Does Trend Following Work on Stocks?
Study by Wilcox/Crittenden in 2005
Opinion – Algos Getting a Bad Rap
Algo traders seem to always be getting unjustly blamed for sudden moves in the market. Tom discusses algo trading.
Time Spent in Up, Down and Sideways Market (2018 Update)
An update to a previous research project to understand the amount of time the stock market spends in various directions.
ETR Comfort Ratio, A Better Way to Measure Return to Risk
This is what Tom uses to more acurately measure return to risk when running historical simulations
Mindset
1997 Futures Magazine Article – Tom Basso: Objective Observer
This article in 1997 was on the mental aspects of Tom’s trading style
1993 Stocks and Commodities Magazine Interview – The Trader’s Psyche: Tom Basso
An early interview with Tom published in Stocks and Commodities Magazine
Managing
Other People’s
Money
Buying A Drawdown Makes Sense
Buying a drawdown in the CTA industry makes sense.
Selecting Money Managers
Discussion of selection of a portfolio of managers.
Letter to Clients, Contacts, Friends Post 9/11/2001
Letter Tom Basso sent to clients, contacts, friends after September 11, 2001.
Volatility Feeds Profits in Futures Industry
Shows how volatility is what feeds profits in the managed futures industry. Should be similar in other markets as well.
Low Sharpe Investment Addition Can Increase Sharpe Of Total Portfolio
How adding a low Sharpe ratio investment actually can increase your Sharpe Ratio of the total portfolio.
CTAs Normally Go Through Cycles
Talks about CTAs going through performance cycles.
Why Client Returns are Less
Dollar Weighted Returns are not Time Weighted Returns
Value of Asset Allocation with Rebalancing
One of “free” return to risk enhancements in portfolio management
Videos
Interested in more of my research?
Reach out to me!