TY - JOUR T1 - What Are the Sources of Return for CTAs and Commodity Indexes? <em>A Brief Survey of Relevant Research</em> JF - The Journal of Wealth Management SP - 108 LP - 123 DO - 10.3905/jwm.2016.18.4.108 VL - 18 IS - 4 AU - Hilary Till Y1 - 2016/01/31 UR - https://pm-research.com/content/18/4/108.abstract N2 - This survey article discusses the (potential) structural sources of return for both commodity trading advisors and commodity indices based on a review of empirical research from both academics and practitioners. The article specifically covers (1) the long-term return sources for both managed futures programs and for commodity indices, (2) the investor expectations and the portfolio context for futures strategies, and (3) how to benchmark these strategies.TOPICS: Commodities, futures and forward contracts, performance measurement ER -