Research and publications
What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research
This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research articles from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor expectations and the portfolio context for futures strategies; and (c) how to benchmark these strategies. A revisited version of this paper was published in the Winter 2016 issue of the Journal of Wealth Management.
Author(s):
Hilary Till
Summary:
This survey paper will discuss the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research articles from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor expectations and the portfolio context for futures strategies; and (c) how to benchmark these strategies. A revisited version of this paper was published in the Winter 2016 issue of the Journal of Wealth Management.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 26/10/2015 |
| Keywords : |
Commodities |
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