What Are the Sources of Return for CTAs and Commodity Indexes? A Brief Survey of Relevant Research

Abstract

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