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The Handbook of Commodity Investing
Frank J. Fabozzi Roland Fuss ]Dieter G. Kaiser
ISBN: 978-0-470-11764-4
Hardcover
986 pages
July 2008
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 Fuss, 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 for Commodity Portfolios (Moazzam Khoja).
CHAPTER 14: Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts (Ted Kury).
CHAPTER 15: Incorporating Futures in Commodity Price Forecasts (Chakriya Bowman and Aasim M. Husain).
PART FOUR: Asset Allocation.
CHAPTER 16: Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector (François-Serge Lhabitant).
CHAPTER 17: How to Design a Commodity Futures Trading Program (Hilary Till and Joseph Eagleeye).
CHAPTER 18: Sources of Alpha in Commodity Investing (Markus Mezger).
CHAPTER 19: Efficient Frontier of Commodity Portfolios (Juliane Proelss and Denis Schweizer).
CHAPTER 20: Active Management of Commodity Investments: The Role of CTAs and Hedge Funds (R. McFall Lamm, Jr.).
CHAPTER 21: Introducing Alternative Investments in a Traditional Portfolio: The Case of Commodities, Hedge Funds, and Managed Futures (Mark S. Shore).
CHAPTER 22: Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes (Theo E. Nijman and Laurens A. P. Swinkels).
PART FIVE: Commodity Products.
CHAPTER 23: Types of Commodity Investments (Lynne Engelke and Jack C. Yuen).
CHAPTER 24: Commodity Options (Carol Alexander and Aanand Venkatramanan).
CHAPTER 25: The Pricing of Electricity Forwards (Dr. Matthias Muck and Markus Rudolf).
CHAPTER 26: Securitization of Commodity Price Risk (Paul U. Ali).
CHAPTER 27: Commodity Trading Advisors: A Review of Historical Performance (Martin Eling).
CHAPTER 28: Catching Future Stars Among Micro-CTAs (Greg N. Gregoriou and Fabrice Douglas Rouah).
CHAPTER 29: A Primer on Energy Hedge Funds (Oliver Engelen and Dieter G. Kaiser).
PART SIX: Special Classes.
CHAPTER 30: An Overview of Commodity Sectors (Roland Eller and Christian Sagerer).
CHAPTER 31: A Practical Guide to Gold as an Investment Asset (Charlie X. Cai, lain Clacher, Robert Faff, and David Hillier).
CHAPTER 32: The Effect of Gold in a Traditional Portfolio (Thomas Heidorn and Nadeshda Demidova-Menzel).
Chapter 33: Fundamental Analysis of the World Silver Market (Jeffrey M. Christian).
CHAPTER 34: Investing in Base Metals (Michael Killick).
CHAPTER 35: Electricity Trading in the European Union (Stefan Ulreich).
CHAPTER 36: The Natural Gas Market in the United Kingdom (Chris Harris).
CHAPTER 37: Emissions Trading in the European Union (Stefan Ulreich).
CHAPTER 38: The Fundamentals of Agricultural and Livestock Commodities (Ronald C. Spurga).
CHAPTER 39: Fundamental Analysis of the World Sugar Market (Rohit Savant).
PART SEVEN: Technical Analysis.
CHAPTER 40: The Profitability of Technical Analysis in Commodity Markets (Cheol-Ho Park and Scott H. Irwin).
Index.
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