Publications
Commodity risk premia indices: construction, implementation, and portfolio benefits
Journal of Alternative Investment, Institutional Investor Journals, forthcoming
Tillmann Sachs, Valentin Georgescul
Tillmann Sachs, Valentin Georgescul
The objective of this paper is to demonstrate how commodity risk premia indices are constructed and implemented and how they can help improve portfolio returns as well as reducing portfolio risk. Firstly, we use the construction methodology of long-only commodity indices as a toolbox for constructing momentum, term structure arbitrage, and value risk premia indices. Secondly, we show the benefits of adding commodity risk premia indices to traditional and alternative investment portfolios. Thirdly, we discuss the implementation of commodity risk premia indices, how they are offered, and how investment constraints can be addressed. ... MORE
Commodity Indices – Enhanced Tool for Portfolio Management
Multi Commodity Exchange of India (MCX), Commodity Insights Yearbook 2018, pp. 38-45
Tillmann Sachs, Valentin Georgescul
Tillmann Sachs, Valentin Georgescul
The objective of this paper is to show how commodity indices can enhance investment portfolio returns and reduce risk.
First, we discuss the nature and construction of commodity indices. We distinguish between traditional long only benchmark indices and alternative long/short risk premia indices.
Second, we show the portfolio benefits of adding commodity benchmark indices to traditional fixed income and equity portfolios and adding long/short commodity risk premia indices to alternative investment portfolios.
Thirdly, we discuss the implementation of commodity indices, how they are offered, typical investor profiles, and how investment constraints can be addressed. .... MORE
First, we discuss the nature and construction of commodity indices. We distinguish between traditional long only benchmark indices and alternative long/short risk premia indices.
Second, we show the portfolio benefits of adding commodity benchmark indices to traditional fixed income and equity portfolios and adding long/short commodity risk premia indices to alternative investment portfolios.
Thirdly, we discuss the implementation of commodity indices, how they are offered, typical investor profiles, and how investment constraints can be addressed. .... MORE
A liquid and investible Benchmark Index for the Commodity Trading Advisor and Managed Futures industry
Journal of Index Investing, Institutional Investor Journals, Spring 2016, Vol. 6, No. 4, pp. 30-70.
Tillmann Sachs, Robert L.K. Tiong
Tillmann Sachs, Robert L.K. Tiong
In 2014 and 2015 we surveyed investors and managers and asked “CTAs – How do they do it?” The survey responses allow us to explain the complexity of the CTA and Managed Futures industry with a simple, survey-led index model: by trading global liquid markets with momentum indicators in a risk weighted basket, managed to a target volatility and charging 2/20 for it. The index is liquid, investible, and replicable. It may serve as benchmark for the CTA industry as it is representative of the most common methodologies used by the industry. ... MORE
Common Denominators: Markets traded by CTA and managed futures funds
The Hedge Fund Journal, September 2014, Issue 97, pp. 32-33.
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG
[...] There is clear trend in popularity of traded markets within the CTA industry. All survey participants were asked for their opinions on which markets represent the most relevant or common markets traded by CTAs, and multiple selections were possible. The survey covered a total of 82 markets, of which 27 markets were commodity markets, 10 government bond markets, six interest rate markets, 12 equity index markets, one volatility market, nine G10 currency markets, and 17 emerging market (EM) currency markets. [...] MORE
Common Denominators: Portfolio Construction and Fees - Building an Index for the CTA industry
The Hedge Fund Journal, January 2015, Issue 101, pp. 54-57.
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG
TILLMANN SACHS, HUI YU CHEN, ROBERT L.K. TIONG
[...]This article follows on from an earlier article published in The Hedge Fund Journal (Issue 97). The first article presented the most popular markets traded by the CTA industry. This article presents the survey results on the most popular return engines, portfolio management methods and fee structures in the CTA industry, and presents an investible index based on these survey findings. The full survey report has been published in the Journal of Index Investing with the Institutional Investor Journals in the winter 2014 issue [...] MORE
Common denominators in the CTA and managed futures industry: A survey report
Journal of Index Investing, Institutional Investor Journals, Winter 2014, Volume 5, Number 3, pp. 46-58.
Chen, H., Sachs, T., Tiong R.
Chen, H., Sachs, T., Tiong R.
How do CTAs generate returns? Which markets do they trade? How do they allocate risk, manage money, and what fees do they charge?
We conducted an international survey to establish “Common Denominators in the CTA and Managed Futures Industry”. This paper presents the results and conclusions from the survey.
The survey finds that the CTA and managed futures industry may be generalized in trading popular key global markets in a risk weighted momentum portfolio managed to a target volatility and applying a 2/20 fee structure. ... MORE
We conducted an international survey to establish “Common Denominators in the CTA and Managed Futures Industry”. This paper presents the results and conclusions from the survey.
The survey finds that the CTA and managed futures industry may be generalized in trading popular key global markets in a risk weighted momentum portfolio managed to a target volatility and applying a 2/20 fee structure. ... MORE
Correlation is not always what it seems - an often overlooked aspect in time series analysis
The Hedge Fund Journal, June 2014, Issue 95, pp. 24-25.
TILLMANN SACHS, CHONG IT TAN and ROBERT TIONG
Many CTAs and other money managers use correlation in time series analysis in their daily work to derive investment decisions on asset allocation, risk and money management, tactical overlays, or selection of products or markets.
In J8, we do not use correlation to achieve future diversification benefits or to derive investment decisions thereupon. We focus our efforts on ... MORE
TILLMANN SACHS, CHONG IT TAN and ROBERT TIONG
Many CTAs and other money managers use correlation in time series analysis in their daily work to derive investment decisions on asset allocation, risk and money management, tactical overlays, or selection of products or markets.
In J8, we do not use correlation to achieve future diversification benefits or to derive investment decisions thereupon. We focus our efforts on ... MORE
Quantifying Political Risks in Infrastructure Projects
PhD Thesis, 2007
TILLMANN SACHS
TILLMANN SACHS
How to quantify risks in the absence of historical data or time series? This book develops a methodology to quantify expert opinion on risk factors which have significant impact on cash flow projections in life-cycle infrastructure projects. ... MORE