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

83

DOWNLOADS
Rank 4,317

SSRN RANKINGS

Top 4,317

in Total Papers Downloads

11,174

SSRN CITATIONS
Rank 19,220

SSRN RANKINGS

Top 19,220

in Total Papers Citations

8

CROSSREF CITATIONS

45

Scholarly Papers (83)

1.
Downloads 2,044 (8,774)
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 1,973 (9,296)
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 455 (75,137)
Citation 1

Abstract:

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Futures, weather derivatives, risk, speculator

4.

The Amaranth Case Study

Number of pages: 8 Posted: 15 Jun 2018
Hilary Till
Premia Research LLC
Downloads 443 (77,551)

Abstract:

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Amaranth, Natural Gas, Regulatory

5.

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 363 (97,764)
Citation 8

Abstract:

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

6.
Downloads 346 (103,140)

Abstract:

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commodity futures, history, futures markets, investment process

7.

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 266 (136,792)
Citation 1

Abstract:

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

8.

Research on Commodity Futures Trading Strategies

Number of pages: 9 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 218 (166,132)

Abstract:

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commodity futures, term structure, returns, relative-value

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 205 (176,026)

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 192 (187,734)

Abstract:

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Commodity futures, Portfolio construction, Risk measures

11.

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 182 (196,979)

Abstract:

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

12.

Case Studies from Commodity Derivatives Debacles

Number of pages: 53 Posted: 13 Jun 2015
Hilary Till
Premia Research LLC
Downloads 179 (198,883)

Abstract:

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

13.
Downloads 178 (199,885)
Citation 18

Abstract:

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Commodity Futures Trading Commission, CFTC, oil, futures market, hedging, speculator

14.

Weathering the Storm in Commodity Risk Premia Strategies

Number of pages: 9 Posted: 12 Jun 2019
Hilary Till
Premia Research LLC
Downloads 167 (211,120)

Abstract:

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

15.

The Collapse of MF Global: What Happened and Lessons Learned

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 157 (222,421)

Abstract:

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Futures Markets, Bankruptcy, Liquidation

16.

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 139 (245,582)
Citation 2

Abstract:

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commodity futures, backwardation, returns, roll yield

17.

Understanding Managed Futures

Number of pages: 23 Posted: 09 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 136 (251,405)

Abstract:

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Managed futures, CTA’s, Trend-followers

18.
Downloads 136 (249,964)

Abstract:

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hedging, exchange rate, history, derivatives

19.

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 119 (278,045)

Abstract:

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Oil Markets, Futures Prices, Crude Oil

20.

Structural Positions in Crude Oil Futures Contracts

Number of pages: 23 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 118 (278,045)
Citation 1

Abstract:

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

21.

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

Number of pages: 17 Posted: 30 Mar 2017
Hilary Till
Premia Research LLC
Downloads 106 (299,773)

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

22.

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

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 102 (307,674)

Abstract:

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Futures, volatility, commodity, speculator, uranium

23.

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 100 (311,760)

Abstract:

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

24.

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 99 (313,727)

Abstract:

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roll yield, crude oil futures

25.

Risk Management Lessons in Leveraged Commodity Futures Trading

Number of pages: 10 Posted: 07 Jun 2015
Hilary Till
Premia Research LLC
Downloads 92 (328,843)
Citation 2

Abstract:

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risk management, commodity, futures trading

26.
Downloads 90 (333,458)

Abstract:

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hedging, regulatory, speculator

27.

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 85 (347,881)

Abstract:

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

28.

OPEC Spare Capacity and Oil Prices

Number of pages: 12 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 83 (350,330)

Abstract:

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crude oil prices, OPEC spare capacity

29.

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

Number of pages: 8 Posted: 11 Jun 2016
Hilary Till
Premia Research LLC
Downloads 81 (355,436)

Abstract:

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

30.

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 80 (360,661)
Citation 4

Abstract:

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commodity, futures, risk management

31.

The Oil Markets: Let the Data Speak for Itself

Number of pages: 67 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 76 (368,696)
Citation 4

Abstract:

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

32.

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 71 (383,017)

Abstract:

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

33.
Downloads 70 (385,978)

Abstract:

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commodity futures returns, backwardation, roll yield, term structure

34.

An Update on Weather Fear Premia Trades

Number of pages: 11 Posted: 21 Dec 2018
Hilary Till
Premia Research LLC
Downloads 69 (389,022)
Citation 1

Abstract:

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

35.

The MF Global Debacle: What Were the Red Flags?

Number of pages: 14 Posted: 27 Jul 2017
Hilary Till
Premia Research LLC
Downloads 69 (389,022)

Abstract:

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

36.

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 69 (389,022)

Abstract:

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

37.

Common Miscalculations in Futures Trading

Number of pages: 2 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 66 (398,263)

Abstract:

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futures trading, risk tolerance

38.

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 66 (398,263)
Citation 1

Abstract:

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

39.

Intelligent Commodity Investing: Opportunities and Challenges

Number of pages: 6 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 66 (398,263)
Citation 1

Abstract:

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G1,G11, Q41

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 63 (411,257)
Citation 3

Abstract:

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Commodity futures contracts, risks, source of returns, backwardation

41.

Illiquidity

Number of pages: 20 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 61 (414,484)

Abstract:

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hedge funds, liquidity, illiquidity

42.

Intelligent Commodity Trading and Risk Management

Number of pages: 17 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 56 (431,907)

Abstract:

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futures trading, risk-management, commodity index, speculator

43.

Return and Risk in Commodity Futures Programs

Number of pages: 22 Posted: 20 May 2015
Hilary Till
Premia Research LLC
Downloads 56 (431,907)

Abstract:

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commodity futures, returns, risk, portfolio

44.

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 54 (439,166)
Citation 1

Abstract:

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Amaranth, natural gas, futures, regulatory

45.

Risk-Adjusted Returns in Alternative Investments

Number of pages: 6 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 54 (439,166)

Abstract:

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

46.

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 51 (450,279)

Abstract:

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

47.

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

Number of pages: 8 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 50 (458,048)
Citation 1

Abstract:

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wheat futures contracts, liquidity

48.

A Brief Examination of Returns-Based Analyses of Hedge Funds

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 50 (454,219)

Abstract:

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

49.

Research Topics from Across the Commodity Markets

Number of pages: 17 Posted: 16 Jul 2020
Hilary Till
Premia Research LLC
Downloads 48 (466,154)

Abstract:

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agricultural commodities, bio-fuels, commodity market development, energy policy, futures pricing, hedging, logistics, regulation

50.

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 48 (462,075)

Abstract:

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Sharpe Ratio, Hedge Funds, Risk Measurement, Asymmetric Risk

51.

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 48 (466,154)

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

52.

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 46 (470,327)

Abstract:

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commodity futures, grain futures, returns

53.

Challenges in Commodities Risk Management

Number of pages: 12 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 43 (483,176)
Citation 1

Abstract:

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risk management, commodities, correlations, risk premia, China

54.

The Capacity Implications of the Search for Alpha

Number of pages: 5 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 42 (487,559)
Citation 2

Abstract:

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hedge funds, alpha, capacity

55.

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

Number of pages: 10 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 42 (487,559)

Abstract:

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

56.

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 41 (492,025)

Abstract:

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

57.

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 41 (496,437)

Abstract:

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commodity futures, index effect

58.

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 39 (501,060)

Abstract:

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crude oil markets, swing producer, shale production

59.

Skepticism About Commodity Futures Markets: An Answer

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 39 (505,648)

Abstract:

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

60.

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 39 (501,060)

Abstract:

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Hedge fund, Amaranth, natural gas

61.

Commodity Scarcity and the GSCI Futures Curve

Number of pages: 7 Posted: 10 Jul 2015
Hilary Till
Premia Research LLC
Downloads 39 (505,648)
Citation 4

Abstract:

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GSCI futures, commodity futures, backwardation

62.

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 39 (505,648)
Citation 1

Abstract:

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Hedge Funds, Option-like payoff

63.

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 38 (505,648)

Abstract:

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

64.

The Trial-and-Error Development of the Chicago Futures Markets

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 37 (510,327)

Abstract:

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Futures markets, futures trading, hedging

65.

Unique Hedge-Fund Risk Considerations

Number of pages: 7 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 34 (525,092)

Abstract:

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

66.

Lessons from History on Commodity Futures Trading Controversies

Number of pages: 7 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 33 (530,267)

Abstract:

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commodity futures markets

67.

Innovations in the Commodity Markets

Number of pages: 6 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 33 (530,267)

Abstract:

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commodity markets

68.

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 32 (535,466)
Citation 1

Abstract:

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

69.

Price Volatility in the Food Markets

Number of pages: 19 Posted: 23 May 2015
Hilary Till
Premia Research LLC
Downloads 32 (535,466)
Citation 1

Abstract:

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

70.

Risk Management in Energy-Focused Commodity Futures Programs

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 30 (546,106)

Abstract:

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risk management, commodity futures, correlations

71.

The Role of Academics and Empirical Studies in the Debate on the Economic Role of Futures Trading

Number of pages: 8 Posted: 17 Jul 2020
Hilary Till
Premia Research LLC
Downloads 28 (557,490)

Abstract:

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futures contracts, futures trading

72.

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 28 (557,490)

Abstract:

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swing producer, shale producer, spare capacity, oil prices

73.

The Measurement and Management of Risk in Commodity Futures Programs

Number of pages: 23 Posted: 24 Jun 2015
Hilary Till
Premia Research LLC
Downloads 28 (557,490)

Abstract:

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Commodity Futures, Risk Measurement

74.

Additional Aspects of Whether Futures Contracts Succeed

Number of pages: 9 Posted: 10 Dec 2018
Hilary Till
Premia Research LLC
Downloads 27 (563,351)

Abstract:

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Futures contracts, commodities, regulation

75.

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 27 (563,351)

Abstract:

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

76.

Hedge Funds in a Risk Allocation Framework: Part 1

Number of pages: 12 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 26 (569,519)

Abstract:

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hedge funds, risk factors, portfolio

77.

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 24 (582,221)

Abstract:

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hedge funds, risk allocation, VAR

78.

Is Oil-Indexation Still Relevant for Pricing Natural Gas?

Number of pages: 6 Posted: 24 Nov 2020
Adila Mchich and Hilary Till
CME Group and Premia Research LLC
Downloads 20 (621,970)

Abstract:

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Natural gas, LNG, crude oil, oil-indexation

79.

An Update on the Debate over Commodity Futures Position Limits

Number of pages: 5 Posted: 08 Aug 2015
Hilary Till
Premia Research LLC
Downloads 19 (615,242)

Abstract:

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

80.

Looking into a Distant Mirror: The 1870s

Number of pages: 5 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 19 (615,242)

Abstract:

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Futures, financial crash

81.

Are Popular Narratives Regarding Recent Commodity Price Spikes Accurate?

Number of pages: 18 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 14 (650,060)
Citation 1

Abstract:

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commodity futures, speculation, hedging, price volatility, policy

82.

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

83.

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