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.