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

84

DOWNLOADS
Rank 4,282

SSRN RANKINGS

Top 4,282

in Total Papers Downloads

11,678

SSRN CITATIONS
Rank 19,704

SSRN RANKINGS

Top 19,704

in Total Papers Citations

10

CROSSREF CITATIONS

43

Scholarly Papers (84)

1.
Downloads 2,054 (9,127)
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 2,030 (9,296)
Citation 1

Abstract:

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Commodity Futures, Trading Strategies, Trend-Following, Calendar Spreads, CTA

3.

The Amaranth Case Study

Number of pages: 8 Posted: 15 Jun 2018
Hilary Till
Premia Research LLC
Downloads 499 (69,812)

Abstract:

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Amaranth, Natural Gas, Regulatory

4.

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 466 (75,955)
Citation 1

Abstract:

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Futures, weather derivatives, risk, speculator

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 411 (87,999)
Citation 8

Abstract:

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

6.
Downloads 355 (104,106)

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 277 (135,933)
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 225 (166,933)

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 212 (176,587)

Abstract:

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Futures, hedging, price risk, volatility, commodity, speculator, pulp

10.

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 208 (179,778)

Abstract:

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

11.

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 198 (188,166)

Abstract:

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Commodity futures, Portfolio construction, Risk measures

12.
Downloads 188 (197,098)
Citation 18

Abstract:

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

13.

Weathering the Storm in Commodity Risk Premia Strategies

Number of pages: 9 Posted: 12 Jun 2019
Hilary Till
Premia Research LLC
Downloads 187 (198,057)

Abstract:

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

14.

Case Studies from Commodity Derivatives Debacles

Number of pages: 53 Posted: 13 Jun 2015
Hilary Till
Premia Research LLC
Downloads 184 (200,852)

Abstract:

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

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 170 (215,122)

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 145 (247,049)
Citation 3

Abstract:

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commodity futures, backwardation, returns, roll yield

17.
Downloads 141 (251,256)

Abstract:

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hedging, exchange rate, history, derivatives

18.

Understanding Managed Futures

Number of pages: 23 Posted: 09 Jul 2015
Hilary Till and Joseph Eagleeye
Premia Research LLC and Premia Research LLC
Downloads 140 (252,644)

Abstract:

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Managed futures, CTA’s, Trend-followers

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 123 (278,797)

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 122 (280,506)
Citation 1

Abstract:

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

21.

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

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 115 (292,502)

Abstract:

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Futures, volatility, commodity, speculator, uranium

22.

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

Number of pages: 17 Posted: 30 Mar 2017
Hilary Till
Premia Research LLC
Downloads 108 (305,568)

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

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 105 (313,523)

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 102 (317,698)

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 93 (337,139)
Citation 2

Abstract:

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risk management, commodity, futures trading

26.
Downloads 91 (341,760)

Abstract:

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hedging, regulatory, speculator

27.

OPEC Spare Capacity and Oil Prices

Number of pages: 12 Posted: 29 Oct 2015
Hilary Till
Premia Research LLC
Downloads 87 (351,432)

Abstract:

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crude oil prices, OPEC spare capacity

28.

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 87 (351,432)

Abstract:

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

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 85 (356,505)

Abstract:

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

30.

An Update on Weather Fear Premia Trades

Number of pages: 11 Posted: 21 Dec 2018
Hilary Till
Premia Research LLC
Downloads 82 (364,299)

Abstract:

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

31.

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 (369,560)
Citation 4

Abstract:

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commodity, futures, risk management

32.

The Oil Markets: Let the Data Speak for Itself

Number of pages: 67 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 77 (377,791)
Citation 4

Abstract:

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

33.

The MF Global Debacle: What Were the Red Flags?

Number of pages: 14 Posted: 27 Jul 2017
Hilary Till
Premia Research LLC
Downloads 75 (383,510)

Abstract:

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

34.

Intelligent Commodity Investing: Opportunities and Challenges

Number of pages: 6 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 74 (386,360)
Citation 1

Abstract:

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G1,G11, Q41

35.

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 72 (392,239)

Abstract:

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

36.
Downloads 71 (395,278)

Abstract:

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commodity futures returns, backwardation, roll yield, term structure

37.

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 70 (398,308)

Abstract:

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

38.

Common Miscalculations in Futures Trading

Number of pages: 2 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 68 (404,547)

Abstract:

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futures trading, risk tolerance

39.

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 68 (404,547)
Citation 1

Abstract:

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

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 (420,939)
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 62 (424,256)

Abstract:

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hedge funds, liquidity, illiquidity

42.

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 60 (431,207)
Citation 1

Abstract:

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Amaranth, natural gas, futures, regulatory

43.

Intelligent Commodity Trading and Risk Management

Number of pages: 17 Posted: 31 May 2015
Hilary Till
Premia Research LLC
Downloads 58 (438,371)

Abstract:

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futures trading, risk-management, commodity index, speculator

44.

Return and Risk in Commodity Futures Programs

Number of pages: 22 Posted: 20 May 2015
Hilary Till
Premia Research LLC
Downloads 58 (438,371)

Abstract:

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commodity futures, returns, risk, portfolio

45.

Research Topics from Across the Commodity Markets

Number of pages: 17 Posted: 16 Jul 2020
Hilary Till
Premia Research LLC
Downloads 56 (445,717)

Abstract:

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

46.

Risk-Adjusted Returns in Alternative Investments

Number of pages: 6 Posted: 06 May 2015
Hilary Till
Premia Research LLC
Downloads 55 (449,368)

Abstract:

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

47.

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

Number of pages: 8 Posted: 05 Feb 2018
Hilary Till
Premia Research LLC
Downloads 54 (453,016)
Citation 1

Abstract:

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wheat futures contracts, liquidity

48.

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 52 (460,590)

Abstract:

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

49.

A Brief Examination of Returns-Based Analyses of Hedge Funds

Number of pages: 5 Posted: 15 May 2015
Hilary Till
Premia Research LLC
Downloads 51 (464,580)

Abstract:

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

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 51 (464,580)

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 49 (472,557)

Abstract:

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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 48 (476,570)

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 45 (489,331)
Citation 1

Abstract:

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risk management, commodities, correlations, risk premia, China

54.

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 44 (493,743)

Abstract:

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commodity futures, index effect

55.

The Capacity Implications of the Search for Alpha

Number of pages: 5 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 43 (498,158)
Citation 2

Abstract:

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hedge funds, alpha, capacity

56.

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

Number of pages: 10 Posted: 22 May 2015
Hilary Till
Premia Research LLC
Downloads 43 (498,158)

Abstract:

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

57.

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 42 (502,629)

Abstract:

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

58.

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 41 (507,190)

Abstract:

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Hedge fund, Amaranth, natural gas

59.

Commodity Scarcity and the GSCI Futures Curve

Number of pages: 7 Posted: 10 Jul 2015
Hilary Till
Premia Research LLC
Downloads 40 (511,930)
Citation 4

Abstract:

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GSCI futures, commodity futures, backwardation

60.

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 (516,566)

Abstract:

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crude oil markets, swing producer, shale production

61.

Skepticism About Commodity Futures Markets: An Answer

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 39 (516,566)

Abstract:

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

62.

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 39 (516,566)

Abstract:

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

63.

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 (516,566)
Citation 1

Abstract:

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Hedge Funds, Option-like payoff

64.

Commodities, Crude Oil, and Diversified Portfolios

Number of pages: 10 Posted: 08 Jun 2021
Hilary Till
Premia Research LLC
Downloads 38 (521,377)

Abstract:

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commodities, crude oil, diversification, futures contracts

65.

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

Number of pages: 8 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 38 (521,377)

Abstract:

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Futures markets, futures trading, hedging

66.

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 36 (531,244)
Citation 1

Abstract:

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

67.

Unique Hedge-Fund Risk Considerations

Number of pages: 7 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 35 (536,330)

Abstract:

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

68.

Lessons from History on Commodity Futures Trading Controversies

Number of pages: 7 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 34 (541,564)

Abstract:

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commodity futures markets

69.

Innovations in the Commodity Markets

Number of pages: 6 Posted: 24 Jul 2015
Hilary Till
Premia Research LLC
Downloads 34 (541,564)

Abstract:

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commodity markets

70.

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 33 (546,873)

Abstract:

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futures contracts, futures trading

71.

Price Volatility in the Food Markets

Number of pages: 19 Posted: 23 May 2015
Hilary Till
Premia Research LLC
Downloads 33 (546,873)
Citation 1

Abstract:

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

72.

Additional Aspects of Whether Futures Contracts Succeed

Number of pages: 9 Posted: 10 Dec 2018
Hilary Till
Premia Research LLC
Downloads 31 (557,578)

Abstract:

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Futures contracts, commodities, regulation

73.

Risk Management in Energy-Focused Commodity Futures Programs

Number of pages: 24 Posted: 05 Aug 2015
Hilary Till
Premia Research LLC
Downloads 31 (557,578)

Abstract:

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risk management, commodity futures, correlations

74.

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 29 (569,035)

Abstract:

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swing producer, shale producer, spare capacity, oil prices

75.

The Measurement and Management of Risk in Commodity Futures Programs

Number of pages: 23 Posted: 24 Jun 2015
Hilary Till
Premia Research LLC
Downloads 29 (569,035)

Abstract:

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Commodity Futures, Risk Measurement

76.

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 28 (575,099)

Abstract:

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

77.

Hedge Funds in a Risk Allocation Framework: Part 1

Number of pages: 12 Posted: 07 May 2015
Hilary Till
Premia Research LLC
Downloads 27 (581,160)

Abstract:

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hedge funds, risk factors, portfolio

78.

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 26 (587,610)

Abstract:

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hedge funds, risk allocation, VAR

79.

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 24 (600,577)

Abstract:

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Natural gas, LNG, crude oil, oil-indexation

80.

An Update on the Debate over Commodity Futures Position Limits

Number of pages: 5 Posted: 08 Aug 2015
Hilary Till
Premia Research LLC
Downloads 21 (620,750)

Abstract:

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

81.

Looking into a Distant Mirror: The 1870s

Number of pages: 5 Posted: 08 May 2015
Hilary Till
Premia Research LLC
Downloads 20 (627,786)

Abstract:

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Futures, financial crash

82.

Are Popular Narratives Regarding Recent Commodity Price Spikes Accurate?

Number of pages: 18 Posted: 28 May 2015
Hilary Till
Premia Research LLC
Downloads 15 (663,321)
Citation 1

Abstract:

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commodity futures, speculation, hedging, price volatility, policy

83.

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

84.

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