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
Date Written: October 16, 2015
This survey paper discusses the (potential) structural sources of return for both CTAs and commodity indices based on a review of empirical research from both academics and practitioners. The paper specifically covers (a) the long-term return sources for both managed futures programs and for commodity indices; (b) the investor expectations and the portfolio context for futures strategies; and (c) how to benchmark these strategies.
Keywords: CTA, sources of return, managed futures, commodity indices, commodity futures contracts
JEL Classification: G1, G11
Suggested Citation: Suggested Citation