book

The Handbook of Commodity Investing

by FRANK J. FABOZZI, ROLAND FÜSS, DIETER G. KAISER

July 2008

Intermediate to advanced

1008 pages

27h 37m

English

Wiley

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MARKET PARTICIPANTSCOMMODITY SECTORSCOMMODITIES AS AN ASSET CLASS OF THEIR OWNCOMMODITY EXCHANGESPRICES AT THE COMMODITY FUTURES EXCHANGESMODELS OF EXPECTED RETURNSRISK AND PERFORMANCE CHARACTERISTICSPORTFOLIO OPTIMIZATION WITH COMMODITIESCONCLUSION

THE RELATIONSHIP BETWEEN FUTURES PRICES AND SPOT PRICESECONOMICS OF THE COMMODITY MARKETS: NORMAL BACKWARDATION VERSUS CONTANGOCOMMODITY PRICES COMPARED TO FINANCIAL ASSET PRICESCONCLUSION
STRATEGIC MOTIVATION FOR COMMODITY INVESTMENTSTACTICAL OPPORTUNITIES IN COMMODITY INVESTMENTSCONCLUSION
COMMODITIES AS AN INFLATION HEDGEDYNAMIC LINKAGES OF MONETARY POLICY AND COMMODITY RETURNS: A VECTOR AUTOREGRESSIVE ANALYSISCOMMODITIES AND EXCHANGE RATESCOMMODITIES AND THE BUSINESS CYCLECONCLUSION
LIMITATION OF RISK NEUTRAL PRICINGTWO BASIC MODELSTERM STRUCTURE OF COMMODITY PRICESFUTURES RETURNSA COMMON DECOMPOSITION OF FUTURES RETURNSCONCLUSIONAPPENDIX
PRODUCTION AS A TIME CONSUMING PROCESSNET PROCEEDS VERSUS COST RETURNCAPITAL MANAGEMENT IN FORESTRYREVENUES FINANCE EXPENDITURESFROM FEUDALISM TO CAPITALISMLOOKING BACK AND AROUNDCONCLUSIONAPPENDIX AAPPENDIX B
SUMMARY OF COMMODITY INDEXESEMPIRICAL ANALYSIS OF THE COMMODITY BENCHMARK PROBLEMA SOLUTION FOR HETEROGENEOUS INDEXESCONCLUSION
HISTORICAL RETURNSRETURN DECOMPOSITION AND DIVERSIFICATION RETURNCORRELATIONSINFLATIONRETURNS OVER THE BUSINESS CYCLETACTICAL ASSET ALLOCATIONCONCLUSION
SOURCES OF RETURN: AN ILLUSTRATIONUNIVARIATE ANALYSISMULTIVARIATE ANALYSISCONCLUSION
HOW FINANCIAL ECONOMISTS VIEW ASSET CLASSESREMOVE THE BORDERRISK, RETURN, AND DIVERSIFICATIONEMPIRICAL RESULTSPOTENTIAL PITFALLS OF COMMODITY INDEX PERFORMANCECONCLUSIONAPPENDIX
GROWTH AND BENEFIT OF MANAGED FUTURESGENERAL DESCRIPTION OF MANAGED FUTURESCTA INDEX CONSTRUCTIONEMPIRICAL ANALYSISISSUES IN PERFORMANCE MEASUREMENTCONCLUSION
IDEALS AND REALITIESVARIOUS APPROACHESTHE INFRASTRUCTUREPORTFOLIO GUIDELINES AND LIMITSTECHNIQUESRISK MANAGEMENT ANALYSIS REQUIREMENTS FOR TRADING OPTIONSCONCLUSION
MEAN REVERSION BEHAVIOR OF COMMODITY RETURNSMARKING THE NET ASSET VALUEMEASURING EVENT RISKSSTRESS TESTING USING VALUE AT RISKMEASURING LIQUIDITY RISKSPERFORMANCE ATTRIBUTIONMITIGATING OPERATIONAL RISKSCONCLUSIONS
RISK MANAGEMENT OF COMMODITY FUTURES PORTFOLIOSA TIME VARYING MODEL OF FORWARD VOLATILITYA MODEL OF CONTRACT INTERRELATIONSHIPSA PRACTICAL HEDGING EXAMPLECONCLUSION
COMMODITY PRICE DEVELOPMENTS: SOME FACTSSTATIONARITY AND COINTEGRATIONFORECASTING MODELSASSESSING FORECAST PERFORMANCEDATARESULTSCONCLUSION
TECHNICAL ANALYSISTREND FOLLOWERS AND MOVING AVERAGES SIGNALSLIMITS OF MOVING-AVERAGE-BASED TREND-FOLLOWING SYSTEMSNONTREND FOLLOWERS AND TRADING RANGE SIGNALSBACK-TESTING AND CALIBRATIONPORTFOLIO CONSTRUCTIONCONCLUSION
TRADE DISCOVERYTRADE CONSTRUCTIONPORTFOLIO CONSTRUCTIONRISK MANAGEMENTLEVERAGE LEVELUNIQUE CONTRIBUTION TO THE INVESTOR'S OVERALL PORTFOLIOCONCLUSION
COMMODITY FUTURES AS AN ASSET CLASSRETURN STATISTICS OF COMMODITY FUTURESALPHA STRATEGIES IN COMMODITY MARKETSCONCLUSION
WHAT TO LOOK OUT FOREXPOSURE TO COMMODITIESDERIVING EFFICIENT COMMODITY PORTFOLIOSTECHNICAL IMPLEMENTATION OF THE MEAN-CVAR APPROACHTHE EFFICIENT FRONTIER OF COMMODITY PORTFOLIOSCONCLUSION
BACKGROUNDTHE ROLE OF COMMODITIES IN INVESTMENT PORTFOLIOSPASSIVE COMMODITY INVESTINGACTIVE COMMODITY INVESTING VIA SPECIALIST CTAs AND HEDGE FUNDSPORTFOLIO IMPLICATIONSMACRO FUNDAMENTALS AND ACTIVE MANAGERS AS A HEDGECONCLUSIONS
COMMODITIES AS AN INFLATION HEDGEDISTRIBUTIONAL CHARACTERISTICS OF COMMODITIESINDEXES USED IN THE OPTIMIZATIONTHE EFFECT OF ALTERNATIVE INVESTMENTS ON TRADITIONAL PORTFOLIOSCONCLUSION
STRATEGIC ASSET ALLOCATIONSTATISTICAL SIGNIFICANCE OF THE PORTFOLIO IMPROVEMENTTACTICAL ASSET ALLOCATIONCONCLUSIONAPPENDIX A: THE OPTIMAL MEAN-VARIANCE PORTFOLIO WITH PENSION LIABILITIESAPPENDIX B: ROBUSTNESS ANALYSIS: DIFFERENT EXPECTED RETURNS
DIRECT CASH INVESTMENTINDIRECT INVESTMENTCONCLUSION
COMMODITY OPTIONS MARKETSHISTORICAL PRICE BEHAVIORSTOCHASTIC PROCESSESPRICING OPTIONSSWING OPTIONSCONCLUSION
TRADITIONAL FORWARD PRICINGELECTRICITY FORWARD PRICINGA NUMERICAL APPLICATIONCONCLUSIONAPPENDIX AAPPENDIX B
DRIVERS FOR COLLATERALIZED COMMODITY OBLIGATIONSLEGAL STRUCTURE OF A GENERIC CCOCONCLUSION
THE CISDM CTA INDEXESPERFORMANCE ANALYSIS OF CTA RETURNSHISTORICAL CTA RETURNSCONCLUSION
CTAs AND THEIR ASSETSMORTALITY AND SURVIVORSHIP BIAS OF CTASDATA AND METHODOLOGYEMPIRICAL RESULTSCONCLUSION
TYPES OF COMMODITY HEDGE FUNDSRISKS ASSOCIATED WITH ENERGY HEDGE FUNDSFUND CHARACTERISTICSRISK AND RETURN CHARACTERISTICSCONCLUSION
HARD COMMODITIES: ENERGYHARD COMMODITIES: METALSSOFT COMMODITIESCONCLUSION
USES OF GOLDGOLDEN FUNDAMENTALSGOLD INVESTMENT PRODUCTSGOLD MARKET INVESTMENT AND GOLD INSTRUMENTSGOLD PRICING DYNAMICSCONCLUSION
FACTORS DRIVING GOLD PRICESGOLD AS A PORTFOLIO CONSTITUENTCONCLUSION
THE SUPPLY OF SILVERTHE DEMAND FOR SILVERMARKET BALANCEHOW TO INVEST IN SILVERCONCLUSION
WHAT ARE BASE METALS?BASE METAL INDUSTRYMARKET STRUCTUREINVESTMENT STRATEGIESCONCLUSION
MARKETPLACES FOR ELECTRICITY IN EUROPESPOT AND FORWARD MARKETS FOR ELECTRICITYINFLUENCE FACTORS ON MARKET PRICEHEDGINGCONCLUSION
BASICSCOMMODITY RELATIONSHIPSPRICE STRUCTURESCONCLUSION
BACKGROUNDOPERATIONAL TRADING OF EU ALLOWANCESCONCLUSION
GRAINCATTLEHOGSCONCLUSION
PRICE FORECASTINGSUGAR AS AN INVESTMENTETHANOLHOW TO INVESTCONCLUSION
THE EFFICIENT MARKET HYPOTHESISTECHNICAL TRADING SYSTEMSEMPIRICAL STUDIESEXPLANATIONS FOR TECHNICAL TRADING PROFITSCONCLUSION

Content preview from The Handbook of Commodity Investing

Foreword

Preface

About the Editors

Contributing Authors

PART ONE Mechanics of the Commodity Market

CHAPTER 1 A Primer on Commodity Investing

Frank J. Fabozzi, Roland Füss, and Dieter G. Kaiser

CHAPTER 2 The Pricing and Economics of Commodity Futures

Mark J. P. Anson

CHAPTER 3 Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities

Joshua D. Woodard

CHAPTER 4 Macroeconomic Determinants of Commodity Futures Returns

Zeno Adams, Roland Füss, and Dieter G. Kaiser

CHAPTER 5 The Relationship Between Risk Premium and Convenience Yield Models

Viola Markert and Heinz Zimmermann

CHAPTER 6 The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector

Dr. Fritz Helmedag

PART TWO Performance Measurement

CHAPTER 7 Review of Commodity Futures Performance Benchmarks

Roland Füss, Christian Hoppe, and Dieter G. Kaiser

CHAPTER 8 Performance Characteristics of Commodity Futures

Claude Erb, Campbell R. Harvey, and Christian Kempe

CHAPTER 9 Statistical Analysis of Commodity Futures Returns

Reinhold Hafner and Maria Heiden

CHAPTER 10 The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test

Bernd Scherer and Li He

CHAPTER 11 CTA/Managed Futures Strategy Benchmarks: Performance and Review

Thomas Schneeweis, Raj Gupta, and Jason Remillard

PART THREE Risk Management

CHAPTER 12 Some Thoughts on Risk Management for Commodity Portfolios

Jeffrey M. Christian

CHAPTER 13 Effective Risk Management Strategies ...

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Managing Commodity Price Risk

George A. Zsidisin, Janet L. Hartley, Barbara Gaudenzi, Lutz Kaufmann

Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy

Hélyette Geman

The Practical Guide to Wall Street: Equities and Derivatives

Matthew Tagliani

The Economics of Commodity Markets

Julien Chevallier, Florian Ielpo

Publisher Resources

ISBN: 9780470117644Purchase book

The Handbook of Commodity Investing

by FRANK J. FABOZZI, ROLAND FÜSS, DIETER G. KAISER

Contents

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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You might also like

Managing Commodity Price Risk

Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy

The Practical Guide to Wall Street: Equities and Derivatives

The Economics of Commodity Markets

Publisher Resources

Contents

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,and much more.

You might also like

Managing Commodity Price Risk

Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy

The Practical Guide to Wall Street: Equities and Derivatives

The Economics of Commodity Markets

Publisher Resources

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.