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 Faculty welcomes Oxford professor Renée B. Adams for a reseach seminar
News
- 11-09-2019
On September 12, 2019, EDHEC faculty will be delighted to welcome Oxford professor...
Riccardo Rebonato will unveil the results of the 12th EDHEC-Risk European ETF & Smart Beta Survey on Sept 23 in London
News
- 03-09-2019
Riccardo Rebonato, Professor of Finance, EDHEC Business School, EDHEC-Risk Institute,...
Launch of the
News
- 03-09-2019
EDHEC Business School and Scientific Beta have announced the launch of the “Advanced...
8 professors appointed in 2019-2020
News
- 27-08-2019
EDHEC Business School appointed 8 new professors for the 2019-2020 academic year. Six...