Hilary Till

EDHEC-Risk Institute

Research Associate

Nice

France

http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School

Solich Scholar

1475 Lawrence St.

Denver, CO 80202

United States

http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest

Contributing Editor

J.P. Morgan Center for Commodities

1475 Lawrence Street

Denver, CO 80202

United States

http://www.jpmcc-gcard.com/hilary-till

SCHOLARLY PAPERS

79

DOWNLOADS
Rank 4,557

SSRN RANKINGS

Top 4,557

in Total Papers Downloads

8,786

CITATIONS
Rank 7,354

SSRN RANKINGS

Top 7,354

in Total Papers Citations

76

Scholarly Papers (79)

1.
Downloads 1,960 (7,352)
Citation 6

Abstract:

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

2.

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 1,548 (10,864)

Abstract:

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

3.

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 360 (81,188)
Citation 1

Abstract:

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Futures, weather derivatives, risk, speculator

4.
Downloads 281 (106,772)

Abstract:

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commodity futures, history, futures markets, investment process

5.

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 216 (139,472)
Citation 1

Abstract:

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

6.

The Amaranth Case Study

Number of pages: 8 Posted: 15 Jun 2018
Hilary Till
Premia Research LLC
Downloads 212 (141,940)

Abstract:

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Amaranth, Natural Gas, Regulatory

7.

Research on Commodity Futures Trading Strategies

Number of pages: 9 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 193 (155,023)

Abstract:

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commodity futures, term structure, returns, relative-value

8.

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

Number of pages: 18 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 183 (162,605)

Abstract:

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

9.

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 164 (179,121)
Citation 5

Abstract:

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Commodity futures, Portfolio construction, Risk measures

10.

Case Studies from Commodity Derivatives Debacles

Number of pages: 53 Posted: 13 Jun 2015
Hilary Till
Premia Research LLC
Downloads 143 (200,725)

Abstract:

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

11.

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 142 (201,885)
Citation 2

Abstract:

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

12.
Downloads 125 (223,264)

Abstract:

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hedging, exchange rate, history, derivatives

13.

Understanding Managed Futures

Number of pages: 23 Posted: 09 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 124 (224,604)

Abstract:

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Managed futures, CTA’s, Trend-followers

14.
Downloads 123 (225,958)
Citation 11

Abstract:

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

15.

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 117 (234,568)
Citation 5

Abstract:

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commodity futures, backwardation, returns, roll yield

16.

The Collapse of MF Global: What Happened and Lessons Learned

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 106 (251,569)

Abstract:

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Futures Markets, Bankruptcy, Liquidation

17.

Structural Positions in Crude Oil Futures Contracts

Number of pages: 23 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 105 (253,360)

Abstract:

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

18.

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

Number of pages: 17 Posted: 30 Mar 2017
Hilary Till
Premia Research LLC
Downloads 93 (274,549)

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

19.

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 91 (278,329)

Abstract:

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

20.

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 89 (282,260)

Abstract:

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roll yield, crude oil futures

21.
Downloads 83 (294,739)

Abstract:

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hedging, regulatory, speculator

22.

Risk Management Lessons in Leveraged Commodity Futures Trading

Number of pages: 10 Posted: 07 Jun 2015
Hilary Till
Premia Research LLC
Downloads 78 (305,861)
Citation 4

Abstract:

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risk management, commodity, futures trading

23.

OPEC Spare Capacity and Oil Prices

Number of pages: 12 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 76 (310,571)
Citation 3

Abstract:

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crude oil prices, OPEC spare capacity

24.

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

Number of pages: 8 Posted: 11 Jun 2016
Hilary Till
Premia Research LLC
Downloads 75 (312,951)
Citation 2

Abstract:

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

25.

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 71 (322,682)

Abstract:

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

26.

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 67 (332,999)

Abstract:

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

27.

The Oil Markets: Let the Data Speak for Itself

Number of pages: 67 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 66 (335,609)
Citation 3

Abstract:

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

28.

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 64 (341,031)
Citation 4

Abstract:

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commodity, futures, risk management

29.

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 60 (352,213)
Citation 1

Abstract:

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

30.
Downloads 60 (352,213)

Abstract:

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commodity futures returns, backwardation, roll yield, term structure

31.

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 59 (355,097)
Citation 2

Abstract:

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

32.

Illiquidity

Number of pages: 20 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 57 (361,171)

Abstract:

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hedge funds, liquidity, illiquidity

33.

Intelligent Commodity Investing: Opportunities and Challenges

Number of pages: 6 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 56 (364,225)

Abstract:

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G1,G11, Q41

34.

Common Miscalculations in Futures Trading

Number of pages: 2 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 54 (370,570)

Abstract:

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futures trading, risk tolerance

35.

Commodity Investing Risks

Number of pages: 30 Posted: 05 Aug 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 54 (370,570)
Citation 4

Abstract:

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Commodity futures contracts, risks, source of returns, backwardation

36.

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

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 54 (370,570)

Abstract:

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Futures, volatility, commodity, speculator, uranium

37.

Weathering the Storm in Commodity Risk Premia Strategies

Number of pages: 9 Posted: 12 Jun 2019
Hilary Till
Premia Research LLC
Downloads 53 (373,603)

Abstract:

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

38.

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 52 (376,850)

Abstract:

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Oil Markets, Futures Prices, Crude Oil

39.

Intelligent Commodity Trading and Risk Management

Number of pages: 17 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 49 (386,712)

Abstract:

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futures trading, risk-management, commodity index, speculator

40.

Risk-Adjusted Returns in Alternative Investments

Number of pages: 6 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 49 (386,712)
Citation 1

Abstract:

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

41.

An Update on Weather Fear Premia Trades

Number of pages: 11 Posted: 21 Dec 2018
Hilary Till
Premia Research LLC
Downloads 46 (397,129)

Abstract:

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

42.

Return and Risk in Commodity Futures Programs

Number of pages: 22 Posted: 20 May 2015
Hilary Till
Premia Research LLC
Downloads 46 (397,129)

Abstract:

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commodity futures, returns, risk, portfolio

43.

A Brief Examination of Returns-Based Analyses of Hedge Funds

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 46 (397,129)

Abstract:

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

44.

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 44 (404,206)

Abstract:

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Sharpe Ratio, Hedge Funds, Risk Measurement, Asymmetric Risk

45.

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 43 (407,935)
Citation 1

Abstract:

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

46.

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 43 (407,935)
Citation 9

Abstract:

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

47.

Challenges in Commodities Risk Management

Number of pages: 12 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 41 (415,225)
Citation 2

Abstract:

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risk management, commodities, correlations, risk premia, China

48.

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 40 (419,056)

Abstract:

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commodity futures, grain futures, returns

49.

The Capacity Implications of the Search for Alpha

Number of pages: 5 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 38 (427,059)
Citation 1

Abstract:

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hedge funds, alpha, capacity

50.

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 38 (427,059)
Citation 1

Abstract:

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Amaranth, natural gas, futures, regulatory

51.

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 38 (427,059)

Abstract:

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

52.

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

Number of pages: 10 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 38 (427,059)

Abstract:

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

53.

Skepticism About Commodity Futures Markets: An Answer

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 36 (435,138)

Abstract:

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

54.

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 36 (435,138)

Abstract:

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

55.

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 36 (435,138)

Abstract:

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commodity futures, index effect

56.

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

Number of pages: 8 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 35 (439,304)
Citation 1

Abstract:

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wheat futures contracts, liquidity

57.

Commodity Scarcity and the GSCI Futures Curve

Number of pages: 7 Posted: 10 Jul 2015
Hilary Till
Premia Research LLC
Downloads 35 (439,304)
Citation 4

Abstract:

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GSCI futures, commodity futures, backwardation

58.

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 34 (443,441)
Citation 1

Abstract:

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Hedge Funds, Option-like payoff

59.

The MF Global Debacle: What Were the Red Flags?

Number of pages: 14 Posted: 27 Jul 2017
Hilary Till
Premia Research LLC
Downloads 33 (447,652)

Abstract:

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

60.

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 33 (447,652)

Abstract:

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crude oil markets, swing producer, shale production

61.

Unique Hedge-Fund Risk Considerations

Number of pages: 7 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 31 (456,754)
Citation 3

Abstract:

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

62.

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

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 30 (461,424)

Abstract:

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Futures markets, futures trading, hedging

63.

Risk Management in Energy-Focused Commodity Futures Programs

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 29 (466,211)

Abstract:

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risk management, commodity futures, correlations

64.

Lessons from History on Commodity Futures Trading Controversies

Number of pages: 7 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 28 (471,135)

Abstract:

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commodity futures markets

65.

Price Volatility in the Food Markets

Number of pages: 19 Posted: 23 May 2015
Hilary Till
Premia Research LLC
Downloads 28 (471,135)
Citation 1

Abstract:

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

66.

Innovations in the Commodity Markets

Number of pages: 6 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 27 (476,237)

Abstract:

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commodity markets

67.

The Measurement and Management of Risk in Commodity Futures Programs

Number of pages: 23 Posted: 24 Jun 2015
Hilary Till
Premia Research LLC
Downloads 27 (476,237)

Abstract:

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Commodity Futures, Risk Measurement

68.

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 25 (486,957)

Abstract:

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Hedge fund, Amaranth, natural gas

69.

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 24 (492,428)
Citation 1

Abstract:

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

70.

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 24 (492,428)

Abstract:

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swing producer, shale producer, spare capacity, oil prices

71.

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 24 (492,428)

Abstract:

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

72.

Hedge Funds in a Risk Allocation Framework: Part 1

Number of pages: 12 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 23 (497,943)

Abstract:

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hedge funds, risk factors, portfolio

73.

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 22 (503,642)

Abstract:

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hedge funds, risk allocation, VAR

74.

An Update on the Debate over Commodity Futures Position Limits

Number of pages: 5 Posted: 08 Aug 2015
Hilary Till
Premia Research LLC
Downloads 18 (526,732)

Abstract:

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

75.

Looking into a Distant Mirror: The 1870s

Number of pages: 5 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 15 (544,110)

Abstract:

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Futures, financial crash

76.

Are Popular Narratives Regarding Recent Commodity Price Spikes Accurate?

Number of pages: 18 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 13 (555,983)

Abstract:

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commodity futures, speculation, hedging, price volatility, policy

77.

Additional Aspects of Whether Futures Contracts Succeed

Number of pages: 9 Posted: 10 Dec 2018
Hilary Till
Premia Research LLC
Downloads 7 (593,053)

Abstract:

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Futures contracts, commodities, regulation

78.

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

79.

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