The Handbook of Commodity Investing (Frank J. Fabozzi Series)

1011 Pages·2008·10.1 MB·English

by  PhD

The Handbook
of Commodity
Investing
FRANK J. FABOZZI
¨
ROLAND FUSS
DIETER G. KAISER
John Wiley & Sons, Inc.

The Handbook
of Commodity
Investing
TheFrankJ.FabozziSeries
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andStevenV.Mann
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andFrankJ.Fabozzi
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Introduction to Structured Finance by Frank J. Fabozzi, Henry A. Davis, and Moorad
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The Handbook
of Commodity
Investing
FRANK J. FABOZZI
¨
ROLAND FUSS
DIETER G. KAISER
John Wiley & Sons, Inc.
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ISBN-13978-0-470-11764-4
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10 9 8 7 6 5 4 3 2 1
Contents
Foreword xi
Preface xv
AbouttheEditors xix
ContributingAuthors xxi
PARTONE
MechanicsoftheCommodityMarket 1
CHAPTER 1
A Primer on Commodity Investing 3
Frank J. Fabozzi, Roland Fu¨ss, and Dieter G. Kaiser
CHAPTER 2
The Pricing and Economics of Commodity Futures 38
Mark J. P. Anson
CHAPTER 3
Commodity Futures Investments: A Review of
Strategic Motivations and Tactical Opportunities 56
Joshua D. Woodard
CHAPTER 4
Macroeconomic Determinants of Commodity
Futures Returns 87
Zeno Adams, Roland Fu¨ss, and Dieter G. Kaiser
v
vi CONTENTS
CHAPTER 5
The Relationship Between Risk Premium and
Convenience Yield Models 113
Viola Markert and Heinz Zimmermann
CHAPTER 6
The Optimal Rotation Period of Renewable Resources:
Theoretical Evidence from the Timber Sector 145
Dr. Fritz Helmedag
PARTTWO
PerformanceMeasurement 167
CHAPTER 7
Review of Commodity Futures Performance Benchmarks 169
Roland Fu¨ss, Christian Hoppe, and Dieter G. Kaiser
CHAPTER 8
Performance Characteristics of Commodity Futures 203
Claude Erb, Campbell R. Harvey, and Christian Kempe
CHAPTER 9
Statistical Analysis of Commodity Futures Returns 227
Reinhold Hafner and Maria Heiden
CHAPTER 10
The Diversification Benefits of Commodity Futures Indexes:
A Mean-Variance Spanning Test 241
Bernd Scherer and Li He
CHAPTER 11
CTA/Managed Futures Strategy Benchmarks:
Performance and Review 266
Thomas Schneeweis, Raj Gupta, and Jason Remillard
Contents vii
PARTTHREE
RiskManagement 311
CHAPTER 12
Some Thoughts on Risk Management for Commodity Portfolios 313
Jeffrey M. Christian
CHAPTER 13
Effective Risk Management Strategies for
Commodity Portfolios 322
Moazzam Khoja
CHAPTER 14
Quantifying Cross-Commodity Risk in Portfolios
of Futures Contracts 335
Ted Kury
CHAPTER 15
Incorporating Futures in Commodity Price Forecasts 358
Chakriya Bowman and Aasim M. Husain
PARTFOUR
AssetAllocation 389
CHAPTER 16
Commodity Trading Strategies: Examples
of Trading Rules and Signals from the CTA Sector 391
Franc¸ois-Serge Lhabitant
CHAPTER 17
How to Design a Commodity Futures Trading Program 406
Hilary Till and Joseph Eagleeye
CHAPTER 18
Sources of Alpha in Commodity Investing 423
Markus Mezger