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

80

DOWNLOADS
Rank 4,370

SSRN RANKINGS

Top 4,370

in Total Papers Downloads

9,642

SSRN CITATIONS
Rank 17,335

SSRN RANKINGS

Top 17,335

in Total Papers Citations

7

CROSSREF CITATIONS

44

Scholarly Papers (80)

1.
Downloads 1,988 (7,808)
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 1,728 (9,847)
Citation 1

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 397 (77,326)
Citation 1

Abstract:

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Futures, weather derivatives, risk, speculator

4.
Downloads 308 (103,076)

Abstract:

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commodity futures, history, futures markets, investment process

5.

The Amaranth Case Study

Number of pages: 8 Posted: 15 Jun 2018
Hilary Till
Premia Research LLC
Downloads 279 (115,101)

Abstract:

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Amaranth, Natural Gas, Regulatory

6.

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 233 (137,869)
Citation 1

Abstract:

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

7.

Research on Commodity Futures Trading Strategies

Number of pages: 9 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 202 (157,927)

Abstract:

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commodity futures, term structure, returns, relative-value

8.

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 192 (165,502)
Citation 9

Abstract:

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

9.

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

Number of pages: 18 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 189 (167,906)

Abstract:

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

10.

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 175 (179,872)

Abstract:

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Commodity futures, Portfolio construction, Risk measures

11.

Case Studies from Commodity Derivatives Debacles

Number of pages: 53 Posted: 13 Jun 2015
Hilary Till
Premia Research LLC
Downloads 165 (189,229)

Abstract:

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

12.
Downloads 143 (213,337)
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 133 (225,981)

Abstract:

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Futures Markets, Bankruptcy, Liquidation

14.
Downloads 129 (231,385)

Abstract:

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hedging, exchange rate, history, derivatives

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 126 (235,621)
Citation 1

Abstract:

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commodity futures, backwardation, returns, roll yield

16.

Understanding Managed Futures

Number of pages: 23 Posted: 09 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 126 (235,621)

Abstract:

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Managed futures, CTA’s, Trend-followers

17.

Structural Positions in Crude Oil Futures Contracts

Number of pages: 23 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 110 (260,060)
Citation 1

Abstract:

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

18.

Weathering the Storm in Commodity Risk Premia Strategies

Number of pages: 9 Posted: 12 Jun 2019
Hilary Till
Premia Research LLC
Downloads 105 (268,718)

Abstract:

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

19.

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

Number of pages: 17 Posted: 30 Mar 2017
Hilary Till
Premia Research LLC
Downloads 100 (277,964)

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

20.

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 98 (281,599)

Abstract:

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

21.

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 95 (287,335)

Abstract:

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roll yield, crude oil futures

22.

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 95 (287,335)

Abstract:

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

23.
Downloads 84 (310,453)

Abstract:

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hedging, regulatory, speculator

24.

OPEC Spare Capacity and Oil Prices

Number of pages: 12 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 80 (319,598)

Abstract:

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crude oil prices, OPEC spare capacity

25.

Risk Management Lessons in Leveraged Commodity Futures Trading

Number of pages: 10 Posted: 07 Jun 2015
Hilary Till
Premia Research LLC
Downloads 80 (319,598)
Citation 2

Abstract:

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risk management, commodity, futures trading

26.

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 79 (322,028)

Abstract:

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Oil Markets, Futures Prices, Crude Oil

27.

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

Number of pages: 8 Posted: 11 Jun 2016
Hilary Till
Premia Research LLC
Downloads 78 (324,319)

Abstract:

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

28.

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 75 (331,869)

Abstract:

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

29.

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 69 (347,472)
Citation 4

Abstract:

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commodity, futures, risk management

30.

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 69 (347,472)

Abstract:

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

31.

The Oil Markets: Let the Data Speak for Itself

Number of pages: 67 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 69 (347,472)
Citation 4

Abstract:

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

32.

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 65 (358,705)

Abstract:

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

33.
Downloads 63 (364,588)

Abstract:

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commodity futures returns, backwardation, roll yield, term structure

34.

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

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 63 (364,588)

Abstract:

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Futures, volatility, commodity, speculator, uranium

35.

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 61 (370,608)
Citation 1

Abstract:

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

36.

Common Miscalculations in Futures Trading

Number of pages: 2 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 59 (376,685)

Abstract:

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futures trading, risk tolerance

37.

An Update on Weather Fear Premia Trades

Number of pages: 11 Posted: 21 Dec 2018
Hilary Till
Premia Research LLC
Downloads 58 (379,752)
Citation 1

Abstract:

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

38.

Intelligent Commodity Investing: Opportunities and Challenges

Number of pages: 6 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 58 (379,752)
Citation 1

Abstract:

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G1,G11, Q41

39.

Illiquidity

Number of pages: 20 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 57 (383,080)

Abstract:

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hedge funds, liquidity, illiquidity

40.

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 (392,939)
Citation 3

Abstract:

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Commodity futures contracts, risks, source of returns, backwardation

41.

Intelligent Commodity Trading and Risk Management

Number of pages: 17 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 52 (399,555)

Abstract:

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futures trading, risk-management, commodity index, speculator

42.

Risk-Adjusted Returns in Alternative Investments

Number of pages: 6 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 51 (403,047)

Abstract:

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

43.

Return and Risk in Commodity Futures Programs

Number of pages: 22 Posted: 20 May 2015
Hilary Till
Premia Research LLC
Downloads 49 (410,006)

Abstract:

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commodity futures, returns, risk, portfolio

44.

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 (420,977)

Abstract:

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

45.

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 45 (424,727)

Abstract:

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commodity futures, grain futures, returns

46.

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 45 (424,727)

Abstract:

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Sharpe Ratio, Hedge Funds, Risk Measurement, Asymmetric Risk

47.

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 45 (424,727)

Abstract:

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

48.

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 44 (428,524)

Abstract:

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

49.

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 42 (436,285)
Citation 1

Abstract:

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Amaranth, natural gas, futures, regulatory

50.

Challenges in Commodities Risk Management

Number of pages: 12 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 42 (436,285)
Citation 1

Abstract:

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risk management, commodities, correlations, risk premia, China

51.

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

Number of pages: 8 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 41 (440,261)
Citation 1

Abstract:

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wheat futures contracts, liquidity

52.

The MF Global Debacle: What Were the Red Flags?

Number of pages: 14 Posted: 27 Jul 2017
Hilary Till
Premia Research LLC
Downloads 41 (440,261)

Abstract:

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

53.

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

Number of pages: 10 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 40 (444,447)

Abstract:

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

54.

The Capacity Implications of the Search for Alpha

Number of pages: 5 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 39 (448,649)
Citation 2

Abstract:

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hedge funds, alpha, capacity

55.

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 39 (448,649)

Abstract:

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

56.

Skepticism About Commodity Futures Markets: An Answer

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 38 (452,815)

Abstract:

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

57.

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 37 (456,990)

Abstract:

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

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 37 (456,990)
Citation 1

Abstract:

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Hedge Funds, Option-like payoff

59.

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 36 (461,277)

Abstract:

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crude oil markets, swing producer, shale production

60.

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 (461,277)

Abstract:

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commodity futures, index effect

61.

Commodity Scarcity and the GSCI Futures Curve

Number of pages: 7 Posted: 10 Jul 2015
Hilary Till
Premia Research LLC
Downloads 35 (465,657)
Citation 3

Abstract:

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GSCI futures, commodity futures, backwardation

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 32 (479,493)

Abstract:

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Futures markets, futures trading, hedging

63.

Unique Hedge-Fund Risk Considerations

Number of pages: 7 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 32 (479,493)

Abstract:

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

64.

Lessons from History on Commodity Futures Trading Controversies

Number of pages: 7 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 30 (489,318)

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 30 (489,318)
Citation 1

Abstract:

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

66.

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 29 (494,396)
Citation 1

Abstract:

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

67.

Risk Management in Energy-Focused Commodity Futures Programs

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 29 (494,396)

Abstract:

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risk management, commodity futures, correlations

68.

Innovations in the Commodity Markets

Number of pages: 6 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 29 (494,396)

Abstract:

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commodity markets

69.

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 28 (499,806)

Abstract:

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Hedge fund, Amaranth, natural gas

70.

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 (505,170)

Abstract:

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Commodity Futures, Risk Measurement

71.

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 25 (516,428)

Abstract:

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swing producer, shale producer, spare capacity, oil prices

72.

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 25 (516,428)

Abstract:

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

73.

Hedge Funds in a Risk Allocation Framework: Part 1

Number of pages: 12 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 23 (528,171)

Abstract:

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hedge funds, risk factors, portfolio

74.

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 (534,191)

Abstract:

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hedge funds, risk allocation, VAR

75.

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 (558,799)

Abstract:

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

76.

Additional Aspects of Whether Futures Contracts Succeed

Number of pages: 9 Posted: 10 Dec 2018
Hilary Till
Premia Research LLC
Downloads 16 (571,076)

Abstract:

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Futures contracts, commodities, regulation

77.

Looking into a Distant Mirror: The 1870s

Number of pages: 5 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 16 (571,076)

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Futures, financial crash

78.

Are Popular Narratives Regarding Recent Commodity Price Spikes Accurate?

Number of pages: 18 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 14 (583,917)
Citation 1

Abstract:

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commodity futures, speculation, hedging, price volatility, policy

79.

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

80.

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