The Handbook of Commodity Investing

by Fabozzi, Frank J.; Fuss, Roland; Kaiser, Dieter G.

• ISBN13: 9780470117644
• ISBN10: 0470117648
• Edition: 1st
• Format: Hardcover
• Copyright: 2008-07-08
• Publisher: Wiley

Summary

Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.

Author Biography

Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

ROLAND FüSS, PhD, is Professor of the Endowed Chair for Asset Management, European Business School (EBS), International University Schloss Reichartshausen, Germany.

Dieter G. Kaiser, PhD, is Director of Alternative Investments at Feri Institutional Advisors GmbH in Bad Homburg, Germany, where he is managing a dedicated commodities fund of hedge funds.

Table of Contents

Foreword	p. xi
Preface	p. xv
About the Editors	p. xix
Contributing Authors	p. xxi
Mechanics of the Commodity Market	p. 1
A Primer on Commodity Investing	p. 3
The Pricing and Economics of Commodity Futures	p. 38
Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities	p. 56
Macroeconomic Determinants of Commodity Futures Returns	p. 87
The Relationship Between Risk Premium and Convenience Yield Models	p. 113
The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector	p. 145
Performance Measurement	p. 167
Review of Commodity Futures Performance Benchmarks	p. 169
Performance Characteristics of Commodity Futures	p. 203
Statistical Analysis of Commodity Futures Returns	p. 227
The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test	p. 241
CTA/Managed Futures Strategy Benchmarks: Performance and Review	p. 266
Risk Management	p. 311
Some Thoughts on Risk Management for Commodity Portfolios	p. 313
Effective Risk Management Strategies for Commodity Portfolios	p. 322
Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts	p. 335
Incorporating Futures in Commodity Price Forecasts	p. 358
Asset Allocation	p. 389
Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector	p. 391
How to Design a Commodity Futures Trading Program	p. 406
Sources of Alpha in Commodity Investing	p. 423
Efficient Frontier of Commodity Portfolios	p. 454
Active Management of Commodity Investments: The Role of CTAs and Hedge Funds	p. 479
Introducing Alternative Investments in a Traditional Portfolio: The Case of Commodities, Hedge Funds, and Managed Futures	p. 504
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes	p. 522
Commodity Products	p. 547
Types of Commodity Investments	p. 549
Commodity Options	p. 570
The Pricing of Electricity Forwards	p. 596
Securitization of Commodity Price Risk	p. 613
Commodity Trading Advisors: A Review of Historical Performance	p. 626
Catching Future Stars Among Micro-CTAs	p. 648
A Primer on Energy Hedge Funds	p. 660
Special Classes	p. 679
An Overview of Commodity Sectors	p. 681
A Practical Guide to Gold as an Investment Asset	p. 712
The Effect of Gold in a Traditional Portfolio	p. 736
Fundamental Analysis of the World Silver Market	p. 763
Investing in Base Metals	p. 776
Electricity Trading in the European Union	p. 803
The Natural Gas Market in the United Kingdom	p. 825
Emissions Trading in the European Union	p. 844
The Fundamentals of Agricultural and Livestock Commodities	p. 863
Fundamental Analysis of the World Sugar Market	p. 888
Technical Analysis	p. 907
The Profitability of Technical Analysis in Commodity Markets	p. 909
Index	p. 949
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