PT  - JOURNAL ARTICLE
AU  - Hilary Till
TI  - What Are the Sources of Return for CTAs and Commodity Indexes? <em>A Brief Survey of Relevant Research</em>
AID  - 10.3905/jwm.2016.18.4.108
DP  - 2016 Jan 31
TA  - The Journal of Wealth Management
PG  - 108--123
VI  - 18
IP  - 4
4099  - https://pm-research.com/content/18/4/108.short
4100  - https://pm-research.com/content/18/4/108.full
AB  - 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