Hilary Till

Premia Research LLC

Commodity Insights Digest (a publication of Bayes Business School)

Managing Co-Editor

London

United Kingdom

http://www.bayes-cid.com

SCHOLARLY PAPERS

87

DOWNLOADS
Rank 4,195

SSRN RANKINGS

Top 4,195

in Total Papers Downloads

16,544

SSRN CITATIONS
Rank 21,953

SSRN RANKINGS

Top 21,953

in Total Papers Citations

11

CROSSREF CITATIONS

44

Scholarly Papers (87)

1.

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

Number of pages: 5 Posted: 30 Mar 2017
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 2,579 (9,729)
Citation 1

Abstract:

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Commodity Futures, Trading Strategies, Trend-Following, Calendar Spreads, CTA

2.
Downloads 2,152 (13,000)
Citation 6

Abstract:

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Backwardation, commodities, corn, futures, mean reversion, roll yield, rolll return, soybeans, wheat

3.

The Amaranth Case Study

Number of pages: 8 Posted: 15 Jun 2018
Hilary Till
Premia Research LLC
Downloads 891 (48,310)

Abstract:

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Amaranth, Natural Gas, Regulatory

4.

The Amaranth Collapse: What Happened and What Have We Learned Thus Far?

Number of pages: 15 Posted: 29 May 2015
Hilary Till
Premia Research LLC
Downloads 868 (50,121)
Citation 8

Abstract:

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Hedge fund, natural gas, derivatives market, futures market, regulatory

5.

Why Haven't Weather Derivatives Been More Successful as Futures Contracts? A Case Study

Number of pages: 9 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 774 (58,509)
Citation 1

Abstract:

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Futures, weather derivatives, risk, speculator

6.
Downloads 414 (127,290)

Abstract:

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commodity futures, history, futures markets, investment process

7.

Commodity Trading Strategies: Examples, Mistakes, and Famous Debacles

Number of pages: 26 Posted: 30 Aug 2019
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 381 (139,762)

Abstract:

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commodity futures, trading strategies, CTA, risk tolerance, Amaranth, MF Global, regulatory, futures commission merchant

8.

Famous Debacles in the Commodity Markets: Case Studies on Amaranth and MF Global

Number of pages: 12 Posted: 05 Jul 2017
Hilary Till and Richard Heckinger
Premia Research LLC and Federal Reserve Bank of Chicago (retired)
Downloads 365 (146,643)
Citation 1

Abstract:

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Futures Markets, Hedge Fund, Regulatory, Bankruptcy, Liquidation, Amaranth, MF Global

9.

Why Haven't Uranium Futures Contracts Succeeded? A Case Study

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 327 (165,196)

Abstract:

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Futures, volatility, commodity, speculator, uranium

10.

Research on Commodity Futures Trading Strategies

Number of pages: 9 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 320 (168,998)

Abstract:

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commodity futures, term structure, returns, relative-value

11.

Weathering the Storm in Commodity Risk Premia Strategies

Number of pages: 9 Posted: 12 Jun 2019
Hilary Till
Premia Research LLC
Downloads 318 (170,187)

Abstract:

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Commodity futures, risk premia, factor investing, momentum, carry, basis- momentum, negative skewnesss

12.
Downloads 289 (188,104)
Citation 18

Abstract:

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Commodity Futures Trading Commission, CFTC, oil, futures market, hedging, speculator

13.

The Collapse of MF Global: What Happened and Lessons Learned

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 244 (222,903)

Abstract:

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Futures Markets, Bankruptcy, Liquidation

14.

Why Haven't Pulp Futures Contracts Succeeded? A Case Study

Number of pages: 18 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 241 (225,663)

Abstract:

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Futures, hedging, price risk, volatility, commodity, speculator, pulp

15.

The Design of a Commodity Futures Trading Program

Number of pages: 21 Posted: 16 May 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 235 (231,313)

Abstract:

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Commodity futures, Portfolio construction, Risk measures

16.

Case Studies from Commodity Derivatives Debacles

Number of pages: 53 Posted: 13 Jun 2015
Hilary Till
Premia Research LLC
Downloads 228 (237,977)

Abstract:

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risk management, commodity derivatives, trading, regulatory, hedge fund

17.
Downloads 205 (262,845)

Abstract:

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hedging, exchange rate, history, derivatives

18.

Term Structure as the Primary Driver of Long-Term Commodity Futures Returns

Number of pages: 13 Posted: 12 Jul 2015
Hilary Till
Premia Research LLC
Downloads 196 (273,675)
Citation 3

Abstract:

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commodity futures, backwardation, returns, roll yield

19.

Understanding Managed Futures

Number of pages: 23 Posted: 09 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 173 (305,686)

Abstract:

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Managed futures, CTA’s, Trend-followers

20.

Deducing Petroleum-Complex Fundamentals

Number of pages: 23 Posted: 05 Feb 2018
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 160 (326,882)

Abstract:

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Oil Markets, Futures Prices, Crude Oil

21.

Commodities, Crude Oil, and Diversified Portfolios

Number of pages: 10 Posted: 08 Jun 2021
Hilary Till
Premia Research LLC
Downloads 155 (335,845)

Abstract:

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commodities, crude oil, diversification, futures contracts

22.

An Update on Weather Fear Premia Trades

Number of pages: 11 Posted: 21 Dec 2018
Hilary Till
Premia Research LLC
Downloads 151 (343,090)
Citation 1

Abstract:

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commodity futures, risk premium, natural gas, coffee, corn

23.

Structural Positions in Crude Oil Futures Contracts

Number of pages: 23 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 150 (344,865)
Citation 1

Abstract:

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crude oil futures, returns, backwardation, contango, spare capacity

24.

Research Topics from Across the Commodity Markets

Number of pages: 17 Posted: 16 Jul 2020
Hilary Till
Premia Research LLC
Downloads 146 (352,558)

Abstract:

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agricultural commodities, bio-fuels, commodity market development, energy policy, futures pricing, hedging, logistics, regulation

25.

Empirical Relationships in the Commodity Futures Markets as of Early 2014

Number of pages: 34 Posted: 09 Jan 2016
Hilary Till
Premia Research LLC
Downloads 146 (352,558)

Abstract:

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commodity futures, backwardation, returns, roll yield, oil market

26.

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

Number of pages: 17 Posted: 30 Mar 2017
Hilary Till
Premia Research LLC
Downloads 141 (362,417)

Abstract:

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Commodity Futures, Trading, Live Cattle, Gasoline, Coffee, Grain Markets, Risk Management, Commodity Derivatives, Trading, Natural Gas, Hedging, Speculation, Price Volatility

27.

Risk Management Lessons in Leveraged Commodity Futures Trading

Number of pages: 10 Posted: 07 Jun 2015
Hilary Till
Premia Research LLC
Downloads 130 (385,833)
Citation 2

Abstract:

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risk management, commodity, futures trading

28.

Crude Oil Futures Markets: Are the Benefits of 'Roll Yield' Real?

Number of pages: 10 Posted: 22 Aug 2016
Hilary Till
Premia Research LLC
Downloads 128 (390,581)

Abstract:

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roll yield, crude oil futures

29.

Is Oil-Indexation Still Relevant for Pricing Natural Gas?

Number of pages: 6 Posted: 24 Nov 2020
Adila Mchich and Hilary Till
CME Group and Premia Research LLC
Downloads 123 (402,572)

Abstract:

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Natural gas, LNG, crude oil, oil-indexation

30.

The MF Global Debacle: What Were the Red Flags?

Number of pages: 14 Posted: 27 Jul 2017
Hilary Till
Premia Research LLC
Downloads 123 (402,572)

Abstract:

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MF Global, Bankruptcy, Liquidation, CFTC, Futures Commission Merchant

31.

Intelligent Commodity Investing: Opportunities and Challenges

Number of pages: 6 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 120 (409,971)
Citation 1

Abstract:

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G1,G11, Q41

32.
Downloads 117 (417,720)

Abstract:

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hedging, regulatory, speculator

33.

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

Number of pages: 8 Posted: 11 Jun 2016
Hilary Till
Premia Research LLC
Downloads 115 (423,035)
Citation 1

Abstract:

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Crude oil futures, spare capacity, structural positions, futures contracts, contango, backwardation, asset allocation

34.

Risk Management and Portfolio Construction in a Commodity Futures Program

Number of pages: 10 Posted: 24 Jul 2015
Joseph Eagleeye and Hilary Till
Premia Research LLC and Premia Research LLC
Downloads 113 (428,580)
Citation 4

Abstract:

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commodity, futures, risk management

35.

A Review of the Historical Literature on Commodity Futures Contract Returns

Number of pages: 41 Posted: 12 Jul 2015
Hilary Till
Premia Research LLC
Downloads 108 (442,838)

Abstract:

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commodity futures, backwardation, returns, theory of storage, convenience yield, speculator, hedging

36.

Active Commodity Futures Strategies: The Importance of Risk Management and Implementation Discipline

Number of pages: 39 Posted: 10 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 108 (442,838)

Abstract:

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Commodity futures, hedge fund, risk management, sources of returns, investment process

37.

The Oil Markets: Let the Data Speak for Itself

Number of pages: 67 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 107 (445,849)
Citation 4

Abstract:

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commodity markets, oil market, futures market, speculation, oil price

38.

OPEC Spare Capacity and Oil Prices

Number of pages: 12 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 106 (448,895)
Citation 1

Abstract:

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crude oil prices, OPEC spare capacity

39.
Downloads 96 (480,563)

Abstract:

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commodity futures returns, backwardation, roll yield, term structure

40.

Common Miscalculations in Futures Trading

Number of pages: 2 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 95 (483,906)

Abstract:

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futures trading, risk tolerance

41.

What is Known About Hedge Funds?

Number of pages: 33 Posted: 27 Jun 2015
Hilary Till and Jodie Gunzberg
Premia Research LLC and S&P Dow Jones Indices
Downloads 94 (487,260)

Abstract:

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Hedge funds, alternative investments, performance measurement, risk management, returns

42.

Commodity Investing Risks

Number of pages: 30 Posted: 05 Aug 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 92 (493,900)
Citation 2

Abstract:

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Commodity futures contracts, risks, source of returns, backwardation

43.

Wheat Futures Contracts: Liquidity, Spreading Opportunities, and Fundamental Factors

Number of pages: 8 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 90 (500,738)
Citation 1

Abstract:

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wheat futures contracts, liquidity

44.

A Review of the U.S. Senate Report on the Amaranth Debacle

Number of pages: 9 Posted: 09 Jul 2015
Hilary Till
Premia Research LLC
Downloads 90 (500,738)
Citation 1

Abstract:

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Amaranth, natural gas, futures, regulatory

45.

Absolute Returns in Commodity Futures Programs

Number of pages: 19 Posted: 28 Jun 2015
Hilary Till and Jodie Gunzberg
Premia Research LLC and S&P Dow Jones Indices
Downloads 90 (500,738)
Citation 1

Abstract:

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Commodity futures, risk management, hedge funds, supply shocks, returns

46.

Illiquidity

Number of pages: 20 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 89 (504,314)

Abstract:

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hedge funds, liquidity, illiquidity

47.

The Anti-Speculation Cycle, Managing Commodity Risk, and Position Limits

Number of pages: 10 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 88 (507,894)

Abstract:

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Commodity markets, hedgers, speculators, futures markets, risk, position limits

48.

Intelligent Commodity Trading and Risk Management

Number of pages: 17 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 87 (511,551)

Abstract:

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futures trading, risk-management, commodity index, speculator

49.

The Impact of Indexing in the Equity and Commodity Markets

Number of pages: 11 Posted: 07 Jun 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 84 (522,566)

Abstract:

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commodity futures, index effect

50.

Risk Measurement of Hedge Funds: Traditional versus Alternative Approaches

Till, H., 2005, Chapter 10, in Core-Satellite Portfolio Management, J.C. Singleton (ed.), McGraw-Hill, NY, pp. 253-296., Till, H., 2004, "Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio," Singapore Economic Review, Vol. 49, No. 1, pp. 1-26
Number of pages: 31 Posted: 11 May 2015
Hilary Till
Premia Research LLC
Downloads 80 (538,107)

Abstract:

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Sharpe Ratio, Hedge Funds, Risk Measurement, Asymmetric Risk

51.

Return and Risk in Commodity Futures Programs

Number of pages: 22 Posted: 20 May 2015
Hilary Till
Premia Research LLC
Downloads 78 (546,194)

Abstract:

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commodity futures, returns, risk, portfolio

52.

Long-Term Sources of Return in the Commodity Futures Markets: Evidence from the Grain Markets

Number of pages: 7 Posted: 29 May 2015
Hilary Till
Premia Research LLC
Downloads 77 (550,146)

Abstract:

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commodity futures, grain futures, returns

53.

Inferences About the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry

Number of pages: 10 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 75 (558,325)

Abstract:

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Hedge fund, Amaranth, natural gas

54.

On the Role of Hedge Funds in Institutional Portfolios: Comprehensive Version

Number of pages: 53 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 75 (558,325)

Abstract:

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hedge fund, institutional investor, portfolio, performance, risk factors, asset allocation, return

55.

Risk-Adjusted Returns in Alternative Investments

Number of pages: 6 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 74 (562,672)

Abstract:

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hedge fund, portfolio, CAPM, risk premia, performance, Sharpe ratio

56.

Challenges in Commodities Risk Management

Number of pages: 12 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 70 (580,052)
Citation 1

Abstract:

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risk management, commodities, correlations, risk premia, China

57.

From Grain to Natural Gas: The Historical Circumstances that Led to the Need for Futures Contracts

Number of pages: 5 Posted: 21 Jun 2018
Hilary Till
Premia Research LLC
Downloads 69 (584,352)
Citation 1

Abstract:

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Bretton Woods System, Futures Contracts, Crude Oil, Natural Gas, Hedging, Regulation

58.

Additional Aspects of Whether Futures Contracts Succeed

Number of pages: 9 Posted: 10 Dec 2018
Hilary Till
Premia Research LLC
Downloads 65 (602,858)

Abstract:

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Futures contracts, commodities, regulation

59.

The Trial-and-Error Development of the Chicago Futures Markets

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 65 (602,858)

Abstract:

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Futures markets, futures trading, hedging

60.

Traditional Investment Programs and Absolute-Return Strategies

Number of pages: 20 Posted: 09 May 2015 Last Revised: 14 May 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 64 (607,640)

Abstract:

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hedge fund, absolute return, alternative investment, performance, risk measurement, asset allocation, Institutional investor

61.

A Brief Examination of Returns-Based Analyses of Hedge Funds

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 62 (617,510)

Abstract:

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hedge fund, returns, risk measure, portfolio, Sharpe ratio

62.

Commodity Scarcity and the GSCI Futures Curve

Number of pages: 7 Posted: 10 Jul 2015
Hilary Till
Premia Research LLC
Downloads 59 (632,880)
Citation 4

Abstract:

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GSCI futures, commodity futures, backwardation

63.

Lessons from History on Commodity Futures Trading Controversies

Number of pages: 7 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 57 (643,390)

Abstract:

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commodity futures markets

64.

On the Use of Standard Performance Measures in Assessing Alternative Investment Strategies Part II

Number of pages: 7 Posted: 01 Jul 2015
Hilary Till
Premia Research LLC
Downloads 56 (648,830)

Abstract:

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Alternative investment, hedge fund, Sharpe ratio, risk-premia

65.

Implicit Options in Hedge Fund Products

Number of pages: 6 Posted: 07 Jun 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 56 (648,830)
Citation 1

Abstract:

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Hedge Funds, Option-like payoff

66.

On the Use of Standard Performance Measures in Assessing Alternative Investment Strategies - Part I

Number of pages: 9 Posted: 27 Jun 2015 Last Revised: 30 Jun 2015
Hilary Till
Premia Research LLC
Downloads 55 (654,309)

Abstract:

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alternative investments, CAPM, Sharpe ratio, risk measurement, returns

67.

Skepticism About Commodity Futures Markets: An Answer

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 54 (659,980)

Abstract:

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Commodity futures markets, oil market, hedging, speculation, CFTC

68.

Is There a New Swing Producer in the Oil Markets? A Brief Answer

Number of pages: 3 Posted: 02 May 2016
Hilary Till
Premia Research LLC
Downloads 53 (665,548)

Abstract:

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crude oil markets, swing producer, shale production

69.

The Capacity Implications of the Search for Alpha

Number of pages: 5 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 53 (665,548)
Citation 2

Abstract:

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hedge funds, alpha, capacity

70.

Innovations in the Commodity Markets

Number of pages: 6 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 53 (665,548)

Abstract:

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commodity markets

71.

Price Volatility in the Food Markets

Number of pages: 19 Posted: 23 May 2015
Hilary Till
Premia Research LLC
Downloads 52 (671,159)
Citation 1

Abstract:

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food price volatility, commodty, agriculture, futures market, speculation, hedging

72.

Unique Hedge-Fund Risk Considerations

Number of pages: 7 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 51 (676,854)

Abstract:

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hedge fund, tail-risk, performance, risk measures, value-at-risk, style factors

73.

The Role of Academics and Empirical Studies in the Debate on the Economic Role of Futures Trading

Number of pages: 8 Posted: 17 Jul 2020
Hilary Till
Premia Research LLC
Downloads 48 (694,715)

Abstract:

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futures contracts, futures trading

74.

Risk Management in Energy-Focused Commodity Futures Programs

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 46 (707,297)

Abstract:

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risk management, commodity futures, correlations

75.

The Measurement and Management of Risk in Commodity Futures Programs

Number of pages: 23 Posted: 24 Jun 2015
Hilary Till
Premia Research LLC
Downloads 46 (707,297)

Abstract:

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Commodity Futures, Risk Measurement

76.

Hedge Funds in a Risk Allocation Framework: Part 2

Number of pages: 14 Posted: 07 May 2015 Last Revised: 23 Jul 2015
Hilary Till
Premia Research LLC
Downloads 45 (713,769)

Abstract:

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hedge funds, risk allocation, VAR

77.

Commodity Position Limit Rules Should Be Based on a Finding of Necessity

Number of pages: 6 Posted: 08 Aug 2015
Hilary Till
Premia Research LLC
Downloads 44 (720,023)

Abstract:

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Commodity markets, hedgers, speculators, futures markets, risk, position limits

78.

Hedge Funds in a Risk Allocation Framework: Part 1

Number of pages: 12 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 44 (720,023)

Abstract:

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hedge funds, risk factors, portfolio

79.

Swing Oil Production and the Role of Credit: A Synthesis of Best-in-Class Research Views

Number of pages: 18 Posted: 15 Jun 2016
Hilary Till
Premia Research LLC
Downloads 43 (726,462)

Abstract:

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swing producer, shale producer, spare capacity, oil prices

80.

An Update on the Debate over Commodity Futures Position Limits

Number of pages: 5 Posted: 08 Aug 2015
Hilary Till
Premia Research LLC
Downloads 38 (760,896)

Abstract:

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Commodity markets, hedgers, speculators, futures markets, risk, position limits

81.

Looking into a Distant Mirror: The 1870s

Number of pages: 5 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 35 (783,029)

Abstract:

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Futures, financial crash

82.

Are Popular Narratives Regarding Recent Commodity Price Spikes Accurate?

Number of pages: 18 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 28 (838,867)
Citation 1

Abstract:

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commodity futures, speculation, hedging, price volatility, policy

83.

A Practitioner Perspective on When OPEC Spare Capacity Has Mattered for Oil Prices: An Update

Number of pages: 10 Posted: 17 Aug 2022
Hilary Till
Premia Research LLC
Downloads 19 (920,616)

Abstract:

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oil prices, OPEC spare capacity

84.

Tapping the Value of Futures Data: A Practitioner’s Perspective

Number of pages: 14 Posted: 18 Feb 2024
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 10 (1,009,947)

Abstract:

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Oil markets, futures prices, crude oil

85.

Hedging Battery-Material Price Risk: The Case of Lithium Compounds

Number of pages: 10 Posted: 18 Feb 2024
Hilary Till
Premia Research LLC
Downloads 3 (1,068,355)

Abstract:

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Futures prices, hedging, lithium, battery materials, energy transition

86.

What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research

Forthcoming in the Journal of Wealth Management
Posted: 20 Oct 2015 Last Revised: 30 Oct 2015
Hilary Till
Premia Research LLC

Abstract:

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CTA, sources of return, managed futures, commodity indices, commodity futures contracts

87.

Why Some Commodity (and Financial) Futures Contracts Succeed and Others Fail: A Survey of Relevant Research

Forthcoming in the Journal of Alternative Investments
Posted: 06 Mar 2015 Last Revised: 15 May 2015
Hilary Till
Premia Research LLC

Abstract:

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Commodities, Futures Market, Commodity Regulation, Policy