Quantitative trading in oil-based markets is investigated over 2003–2010, with a focus on
WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal …

We revisit the traditional return‐based style analysis in the presence of time‐varying
exposures and errors‐in‐variables (EIV). We apply a benchmark selection algorithm using …

We study a stochastic control approach to managed futures portfolios. Building on the
(Schwartz, 1997) stochastic convenience yield model for commodity prices, we formulate a …

In light of the recent popularity of products based on alternative risk premia, the authors
examine the ability of these products to capture the returns of the commodity trading advisor …

Using a proprietary and unusually comprehensive database of hedge fund returns, we seek
to identify abnormal performance consistent with opportunistic trading (eg, bear raids) or …

We investigate the implications of low but persistent serial correlation in Managed Futures'
returns for portfolio management. Using a measure based on the unweighted sum of …

This study investigates risk, performance and persistence of systematic and discretionary
CTAs. Before analyzing the average performance this study updates previous results in the …

The 2022 World Economic Forum surveyed 1,000 experts and leaders who indicated their
risk perception that the earth's conditions for humans are a main concern in the next 10 …

Congestion is often used in the operations area to investigate the excessive effect of inputs
on outputs. In finance, and more specifically in the derivatives area, leverage is embedded …

Our paper investigates the timing of the inception of commodity trading advisors and the
relationship between their fund flows and performance. Our results show that commodity …