The handbook of commodity investing / Frank J. Fabozzi, Roland Füss, Dieter G. Kaiser.

Format:

Book

Author/Creator:

Fabozzi, Frank J.

Contributor:

Füss, Roland.

Kaiser, Dieter G.

Series:

Frank J. Fabozzi series

The Frank J. Fabozzi series

Language:

English

Subjects (All):

Commodity futures.

Physical Description:

xxii, 986 pages : illustrations ; 24 cm.

Place of Publication:

Hoboken, N.J. : Wiley, [2008]

Summary:

This invaluable resource provides an overview of the basics and foundations of commodity investing, as well as recent theory and empirical evidence on the commodity markets. Written by leading practitioners and academics, The Handbook of Commodity Investing explains the complexities of commodity investments, their associated risks, and how investors can optimize their portfolios by including different types of commodity investments. Each chapter contains valuable information for both investors who are currently using or contemplating using commodities as part of their asset allocation and academics who are analyzing the commodity markets theoretically or empirically.

Starting with the basics of commodity investments and moving on to more complex topics, such as performance measurement, asset pricing, and risk management, The Handbook of Commodity Investing is a reliable resource for anyone who needs to understand this dynamic market. Whatever the motivation for your interest in commodities, this book will increase your understanding-hence helping you to reduce risk and enhance returns.

Contents:

Part 1 Mechanics of the Commodity Market 1

Chapter 1 A Primer on Commodity Investing / Frank J. Fabozzi, Roland Fuss, Dieter G. Kaiser 3

Chapter 2 The Pricing and Economics of Commodity Futures / Mark J. P. Anson 38

Chapter 3 Commodity Futures Investments: A Review of Strategic Motivations and Tactical Opportunities / Joshua D. Woodard 56

Chapter 4 Macroeconomic Determinants of Commodity Futures Returns / Zeno Adams, Roland Fuss, Dieter G. Kaiser 87

Chapter 5 The Relationship Between Risk Premium and Convenience Yield Models / Viola Markert, Heinz Zimmermann 113

Chapter 6 The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector / Dr. Fritz Helmedag 145

Part 2 Performance Measurement 167

Chapter 7 Review of Commodity Futures Performance Benchmarks / Roland Fuss, Christian Hoppe, Dieter G. Kaiser 169

Chapter 8 Performance Characteristics of Commodity Futures / Claude Erb, Campbell R. Harvey, Christian Kempe 203

Chapter 9 Statistical Analysis of Commodity Futures Returns / Reinhold Hafner, Maria Heiden 227

Chapter 10 The Diversification Benefits of Commodity Futures Indexes: A Mean-Variance Spanning Test / Bernd Scherer, Li He 241

Chapter 11 CTA/Managed Futures Strategy Benchmarks: Performance and Review / Thomas Schneeweis, Raj Gupta, Jason Remillard 266

Part 3 Risk Management 311

Chapter 12 Some Thoughts on Risk Management for Commodity Portfolios / Jeffrey M. Christian 313

Chapter 13 Effective Risk Management Strategies for Commodity Portfolios / Moazzam Khoja 322

Chapter 14 Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts / Ted Kury 335

Chapter 15 Incorporating Futures in Commodity Price Forecasts / Chakriya Bowman, Aasim M. Husain 358

Part 4 Asset Allocation 389

Chapter 16 Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector / Francois-Serge Lhabitant 391

Chapter 17 How to Design a Commodity Futures Trading Program / Hilary Till, Joseph Eagleeye 406

Chapter 18 Sources of Alpha in Commodity Investing / Markus Mezger 423

Chapter 19 Efficient Frontier of Commodity Portfolios / Juliane Proelss, Denis Schweizer 454

Chapter 20 Active Management of Commodity Investments: The Role of CTAs and Hedge Funds / R. McFall Lamm, Jr. 479

Chapter 21 Introducing Alternative Investments in a Traditional Portfolio: The Case of Commodities, Hedge Funds, and Managed Futures / Mark S. Shore 504

Chapter 22 Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes / Theo E. Nijman, Laurens A. P. Swinkels 522

Part 5 Commodity Products 547

Chapter 23 Types of Commodity Investments / Lynne Engelke, Jack C. Yuen 549

Chapter 24 Commodity Options / Carol Alexander, Aanand Venkatramanan 570

Chapter 25 The Pricing of Electricity Forwards / Dr. Matthias Muck, Markus Rudolf 596

Chapter 26 Securitization of Commodity Price Risk / Paul U. Ali 613

Chapter 27 Commodity Trading Advisors: A Review of Historical Performance / Martin Eling 626

Chapter 28 Catching Future Stars Among Micro-CTAs / Greg N. Gregoriou, Fabrice Douglas Rouah 648

Chapter 29 A Primer on Energy Hedge Funds / Oliver Engelen, Dieter G. Kaiser 660

Part 6 Special Classes 679

Chapter 30 An Overview of Commodity Sectors / Roland Eller, Christian Sagerer 681

Chapter 31 A Practical Guide to Gold as an Investment Asset / Charlie X. Cai, Iain Clacher, Robert Faff, David Hillier 712

Chapter 32 The Effect of Gold in a Traditional Portfolio / Thomas Heidorn, Nadeshda Demidova-Menzel 736

Chapter 33 Fundamental Analysis of the World Silver Market / Jeffrey M. Christian 763

Chapter 34 Investing in Base Metals / Michael Killick 776

Chapter 35 Electricity Trading in the European Union / Stefan Ulreich 803

Chapter 36 The Natural Gas Market in the United Kingdom / Chris Harris 825

Chapter 37 Emissions Trading in the European Union / Stefan Ulreich 844

Chapter 38 The Fundamentals of Agricultural and Livestock Commodities / Ronald C. Spurga 863

Chapter 39 Fundamental Analysis of the World Sugar Market / Rohit Savant 888

Part 7 Technical Analysis 907

Chapter 40 The Profitability of Technical Analysis in Commodity Markets / Cheol-Ho Park, Scott H. Irwin 909.

Notes:

Includes bibliographical references and index.

ISBN:

9780470117644

0470117648

OCLC:

214306825