What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research

Hilary Till: 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.

Author(s):

Hilary Till

Research Associate, EDHEC-Risk InstitutePrincipal, Premia Research LLC

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.

Type: Working paper
Date: le 26/10/2015
Research Cluster : Finance

See Also

EDHEC students got talent - Top local guide on Google maps
News
- 20-02-2020
“In one sentence, I am just a constantly-curious person. I have been traveling the...
[EDHEC Value Creation study] Digital transformation: an opportunity to change the paradigms of financial performance
News
- 19-02-2020
How to measure value creation and value companies in this digital era of social,...
My campus life – Part 2 – Getting involved in student associations and more
News
- 14-02-2020
In the last article, I told you guys about this very exciting opportunity I got from...
EDHEC students win the Amazon Innovation Award 2020
News
- 13-02-2020
The theme? To rethink in an innovative and sustainable way the last-mile delivery...