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

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