Working paper

Working paper

Commodities as Lotteries: Skewness and the Returns of Commodity Futures

Auteur(s) : Adrian Fernández-Pérez
This article studies the relation between skewness and subsequent returns in commodity futures markets. Systematically buying commodities with low...

Working paper

Crude Oil Futures Markets: Are the Benefits of “Roll Yield” Real?

Auteur(s) : Hilary Till
Is roll yield still a useful concept in evaluating crude oil futures markets? This is a timely question because of (a) scepticism on the benefits of...

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Long-Short Commodity Investing: A Review of the Literature

Auteur(s) : Joëlle Miffre
This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is...

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A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

Auteur(s) : Michel Brocard
We discuss in particular the case of U.S. domestic hedge funds set up as a limited partnership as well as...

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Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

Auteur(s) : Juha Joenvaara
Instead we find a positive log-linear relation between the number of constituent funds in a fund of hedge...

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Is Smart Beta just Monkey Business? An Analysis of Factor Exposures, Upside-Down Strategies and Rebalancing Effects

Auteur(s) : Noel Amenc
They also claim that similar results are obtained by any random portfolio strategy, including the inverse of...

Working paper

Skewness Strategies in Commodity Futures Markets

Auteur(s) : Adrian Fernandez-Perez
As a result, equities with positive skews tend to be overpriced and thus offer low expected returns, while...

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Structural Position-Taking in Crude Oil Futures Contracts

Auteur(s) : Hilary Till
In answering this question, this paper will cover the following three considerations: (1) the case for...

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When Has OPEC Spare Capacity Mattered for Oil Prices?

Auteur(s) : Hilary Till
This article will argue the answer is yes, and we will discuss the circumstances when this has been the case...

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The Limitations of Factor Investing: Impact of the Volkswagen Scandal on Concentrated versus Diversified Factor Indices

Auteur(s) : Noel Amenc
While there is a consensus on the factors that are rewarded over the long term, it must be acknowledged that the implementation of factor investing,...

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What are the Sources of Return for CTAs and Commodity Indices?

Auteur(s) : Hilary Till
The paper specifically covers (a) the long-term return sources for both managed futures programs and for...

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Stock Market Dispersion, the Business Cycle and Expected Factor Returns

Auteur(s) : Timotheos Angelidis
A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium...

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Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Auteur(s) : Joelle Miffre
It also demonstrates that a pricing model based on innovations to the backwardation versus contango risk...

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Commodity Risks and the Cross-Section of Equity Returns

Auteur(s) : Chris Brooks
We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that...

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Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Auteur(s) : Adrian Buss
In this paper, we study asset allocation and asset pricing in a general-equilibrium model with liquid assets...

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Why Haven’t Pulp Futures Contracts Succeeded? A Case Study

Auteur(s) : Hilary Till

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Why Haven’t Uranium Futures Contracts Succeeded? A Case Study

Auteur(s) : Hilary Till

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Why Haven’t Weather Derivatives Been More Successful as Futures Contracts? A Case Study

Auteur(s) : Hilary Till

Working paper

On the Rate of Return and Valuation of Non-Conventional Projects

Auteur(s) : Carlos Heitor Campani
Even if one correctly uses the net present value criterion for capital budgeting, we show that it fails for...

Working paper

OPEC Spare Capacity and the Term Structure of Oil Futures Prices

Auteur(s) : Hilary Till

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