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 …

This survey paper will discuss the (potential) structural sources of return for both CTAs and
commodity indices based on a review of empirical research articles from both academics …

The past decade has witnessed a dramatic increase in the use of public commodity funds as
stand-alone investments or as additions to traditional stock and bond portfolios. Research …

For many years, investors have faced a dilemma in making asset allocations to commodity
trading advisers (CTAs). On one hand, numerous studies indicate that investing in CTAs …

The data and time dependency of empirical financial research is a common concern to both
academics and practitioners. Changes in regulatory, trading and investor environments may …

Authoritative, up-to-date research and analysis that provides a dramatic new understanding
of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an …

In recent years, the CTA industry has experienced significant growth in assets under
management. This impressive growth has two main drivers: first, renowned CTA …

Funds of funds managers and their investors can benefit by incorporating diversifying assets
like Commodity Trading Advisors (CTAs) into portfolios that hold traditional investments. This …

In this paper, we study performance, risk, and fund characteristics for alternative investment
vehicles such as hedge funds, funds-of-funds, and commodity trading advisors (CTAs). We …

This study uses a set of return‐based factors to explore market (return and volatility) timing
ability of commodity trading advisors (CTAs). Unlike previous research, we use return‐based …