@article {Till108, author = {Hilary Till}, title = {What Are the Sources of Return for CTAs and Commodity Indexes? A Brief Survey of Relevant Research }, volume = {18}, number = {4}, pages = {108--123}, year = {2016}, doi = {10.3905/jwm.2016.18.4.108}, publisher = {Institutional Investor Journals Umbrella}, 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}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/18/4/108}, eprint = {https://jwm.pm-research.com/content/18/4/108.full.pdf}, journal = {The Journal of Wealth Management} }