Abstract The Nelson-Siegel framework is employed to model the term structure of commodity
futures prices. Exploiting the information embedded in the level, slope and curvature …

In this article, we examine the practice of evaluating trading and portfolio performance using
accounting P&L, which values positions based on current market prices. We demonstrate …

Recent studies have documented that market impact decays slowly through time. We study
the impact of such slow decay on trading strategies' capacity. To do so, we propose a …

We model the relation between excess returns, fund size and industry size for active equity
funds within four markets–global equities, emerging markets, Australia core and Australia …

Capacity measures how much can be invested in a strategy before declining expected
returns make competing strategies look more attractive. Existing approaches for measuring …

The commodity futures literature has advanced significantly in the last decades due to its
growing importance in financial economics and the investment management industry …