The Handbook of Commodity Investing

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  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2008-07-08
  • Publisher: Wiley
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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

Forewordp. xi
Prefacep. xv
About the Editorsp. xix
Contributing Authorsp. xxi
Mechanics of the Commodity Marketp. 1
A Primer on Commodity Investingp. 3
The Pricing and Economics of Commodity Futuresp. 38
Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunitiesp. 56
Macroeconomic Determinants of Commodity Futures Returnsp. 87
The Relationship Between Risk Premium and Convenience Yield Modelsp. 113
The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sectorp. 145
Performance Measurementp. 167
Review of Commodity Futures Performance Benchmarksp. 169
Performance Characteristics of Commodity Futuresp. 203
Statistical Analysis of Commodity Futures Returnsp. 227
The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Testp. 241
CTA/Managed Futures Strategy Benchmarks: Performance and Reviewp. 266
Risk Managementp. 311
Some Thoughts on Risk Management for Commodity Portfoliosp. 313
Effective Risk Management Strategies for Commodity Portfoliosp. 322
Quantifying Cross-Commodity Risk in Portfolios of Futures Contractsp. 335
Incorporating Futures in Commodity Price Forecastsp. 358
Asset Allocationp. 389
Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sectorp. 391
How to Design a Commodity Futures Trading Programp. 406
Sources of Alpha in Commodity Investingp. 423
Efficient Frontier of Commodity Portfoliosp. 454
Active Management of Commodity Investments: The Role of CTAs and Hedge Fundsp. 479
Introducing Alternative Investments in a Traditional Portfolio: The Case of Commodities, Hedge Funds, and Managed Futuresp. 504
Strategic and Tactical Allocation to Commodities for Retirement Savings Schemesp. 522
Commodity Productsp. 547
Types of Commodity Investmentsp. 549
Commodity Optionsp. 570
The Pricing of Electricity Forwardsp. 596
Securitization of Commodity Price Riskp. 613
Commodity Trading Advisors: A Review of Historical Performancep. 626
Catching Future Stars Among Micro-CTAsp. 648
A Primer on Energy Hedge Fundsp. 660
Special Classesp. 679
An Overview of Commodity Sectorsp. 681
A Practical Guide to Gold as an Investment Assetp. 712
The Effect of Gold in a Traditional Portfoliop. 736
Fundamental Analysis of the World Silver Marketp. 763
Investing in Base Metalsp. 776
Electricity Trading in the European Unionp. 803
The Natural Gas Market in the United Kingdomp. 825
Emissions Trading in the European Unionp. 844
The Fundamentals of Agricultural and Livestock Commoditiesp. 863
Fundamental Analysis of the World Sugar Marketp. 888
Technical Analysisp. 907
The Profitability of Technical Analysis in Commodity Marketsp. 909
Indexp. 949
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