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Journal Article

Commodities for the Long Run

October 20, 2016 - Ari Levine Yao Hua Ooi Matthew P. Richardson Caroline Sasseville

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

Journal Article

Demystifying Managed Futures

February 1, 2013 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.