Intelligent Commodity Investing

Book description

With the booming interest in commodity investment - as investors seek alternatives to more traditional investments - there is a growing demand for up-to-date investment information. This book provides timely and intelligent insights from a broad range of institutional investors, consultants, hedge funds, commodity index providers, risk managers as well as research from academia.

This is the only multi-contributor book on commodity investment offering a breadth of opinions for sophisticated investors. It looks at commodity investment from the following perspectives:

• The Investor
• The Active Manager
• The Commodity Index Provider
• The Risk Manager
• The Researcher

The size of the global commodities derivatives market is now estimated to be around $750 billion. This growth is evident by the increased investment in commodity indexes and the growth of commodity hedge funds. Further evidence of growth is also seen in the increasing size of natural-resources mutual funds. China and other fast-growing countries are snapping up raw materials at a pace that, at times, is faster than mines and oil wells can produce them.

In response to the rapid growth in the market, this timely publication will bring you up to speed on the trends and challenges of commodity investment, providing you with a practical investment framework.

Recommended reading for hedge fund managers, pension fund consultants, mutual fund portfolio managers, endowment chief investment officers, futures traders, family office investors, commodity trading advisers, brokers, dealers and MBA students researching this important subject.

Book details

ISBN

9781904339632

Publish date

1 Mar 2007

Format

Size

155mm x 235mm

Editor biography

Hilary Till and Joseph Eagleeye

Hilary Till is a co-founder of Premia Capital Management, LLC. She is also a principal of Premia Risk Consultancy, Inc., which advises investment firms on derivatives strategies and risk management policy. In addition, Hilary is a member of the North American Advisory Board of the London School of Economics; and is a Research Associate at the EDHEC-Risk Institute. Before co-founding Premia Capital, she was the Chief of Derivatives Strategies at Putnam Investments and prior to this position was a quantitative analyst at Harvard Management Company. She has a B.A. with General Honors in Statistics from the University of Chicago and an M.Sc. degree in Statistics from the London School of Economics (LSE). She studied at the LSE under a private fellowship administered by the Fulbright Commission.

Joseph Eagleeye is a co-founder of Premia Capital Management, LLC. Premia Capital uses statistical techniques to identify pockets of predictability in the commodity futures markets; risk management is a key part of the firm’s investment process. Before co-founding Premia Capital, Joseph was a senior derivatives strategist at Putnam Investments. While at Putnam, he researched, back-tested and implemented systematic, relative-value derivatives strategies, which spanned the bond and commodity markets, as well as co-managing Putnam’s institutional commodity programme. Prior to joining Putnam Investments, Joseph developed trading applications for Morgan Stanley’s Equity Division and proprietary computer models for an urban economics consulting firm. He has also advised investment firms on hedging strategies, benchmark construction, index-replication strategies, and risk management. He holds a Bachelor of Science degree in applied mathematics from Yale University and an MBA from the University of California at Berkeley.

Table of contents

Foreword

Robert J. Greer, PIMCO

Introduction

Hilary Till, Premia Capital Management, LLC and EDHEC Risk and

Asset Management Research Centre

SECTION 1: OVERVIEW

1 Commodities: Trends, Cycles and Investment Implications

Sean Corrigan, Stephan Wrobel

Diapason Commodities Management SA

SECTION 2: RESEARCH PERSPECTIVE

2 Introduction to A Long-Term Perspective on Commodity Futures Returns

Hilary Till, Premia Capital Management, LLC and EDHEC Risk and Asset Management Research Centre

3 Part I of A Long-Term Perspective on Commodity Futures

Returns: Review of the Historical Literature

Hilary Till, Premia Capital Management, LLC and EDHEC

Risk and Asset Management Research Centre

4 Part II of A Long-Term Perspective on Commodity Futures

Returns: Term Structure as the Primary Driver of Returns

Hilary Till, Premia Capital Management, LLC and EDHEC

Risk and Asset Management Research Centre

5 Predictability in Commodity Futures Markets

Frans de Roon, Tilburg University

6 Commodities and Strategic Asset Allocation

Thomas M. Idzorek, Ibbotson Associates

7 An Evaluation of the Commodity Exposure in

Commodity Trading Advisors

Bhaswar Gupta; Kathryn Wilkens, Centre for International Securities and Derivatives Markets; Chartered Alternative Investment Analyst Association

SECTION 3: INDEX-PROVIDER PERSPECTIVE

8 Index Fundamentals

Daniel M. Raab, AIG Financial Products Corp.

9 Structural Shifts in Commodity-Index Investing

Michael Lewis, Deutsche Bank

10 The Long and Short of Commodity Futures Index

Investing: The MorningStar Commodity Index Family

Jodie Gunzberg, Paul Kaplan, Morningstar, Inc

SECTION 4: ACTIVE-MANAGER PERSPECTIVE

11 Enhanced Commodity Indexing

Michael Magers, Barclays Global Investors

12 Commodity Returns - Implications for Active Management

Kenneth J. Armstead, Ram Venkatraman, Absolute Plus Management, LLC

13 Relative-Value Trading Opportunities in Energy

and Agriculture

Ashmead Pringle, Tom Fernandes, GreenHaven LLC

14 Collision: Investing for the New World Commodity Order

Colin Waugh, Galtere Ltd

SECTION 5: INVESTOR PERSPECTIVE

15 Alpha, Beta, and Commodities: Can A Commodities

Investment be Both a High-Risk-Adjusted Return Source

and a Portfolio Hedge?

Rian P. Akey, Cole Asset Management

16 Dynamic Commodity Timing Strategies

Evert B. Vrugt; Rob Bauer; Roderick Molenaar; Tom Steenkamp, ABP Investments Amsterdam; and Maastricht University; and Vrije Universiteit Amsterdam

17 Conducting Investment Due Diligence on Active

Natural-Resource Managers

John E. Dunn III, Thunderbird, The Garvin School for International Management

and UBK Alternative Investments

SECTION 6: RISK MANAGEMENT PERSPECTIVE

18 Risk Management Best Practices for Investments in

Energy and Commodity Markets

Carlos Blanco, José Ramón Aragonés, Black Swan Risk Advisors, LLC

19 Benchmark-Relative Risk in Active Commodities Portfolios:

Incorporating Fat Tails and Downside Risk

Mark A. Hooker, State Street Global Advisors

20 Risk Management, Strategy Development, and

Portfolio Construction in a Commodity Futures Programme

Joseph Eagleeye, Premia Capital Management, LLC

SECTION 7: NEW MARKET DEVELOPMENTS

21 The Move to Electronic Trading: What to

Expect in the Natural-Resources Commodity Markets

George T. Dowd III, Spectrum Asset Management, LLC

22 The Evolution of Commodity-Structured Products:

From the Gold Market to Collateralised

Commodity Obligations

Matthew C. Schwab, AIG Financial Products

23 Trading Carbon in Europe

Paul Cameron, Jeremy Wilcox, Intelligent Carbon

24 Chinese Commodity Markets: History, Development

and Prospects

Nick Ronalds; Wang Xueqin, UBS Securities LLC; Zhengzhou Commodity Exchange

Testimonials

“Essential reading for commodity investors, or would-be investors, everywhere.“

Sir Howard Davies, Director, London School of Economics and Political Science; and Former Chairman of the Financial Services Authority (UK)

“Covers a full range of concepts that are critical for anyone investing in these markets.“

Mr. David Kuenzi, Head of Risk Management and Quantitative Research, Glenwood Capital Investments, LLC; A member of the Man Group

“It is the best single resource that anyone involved in the commodity markets could have on their shelf.“

Mr. David Walsh, Managing Director, Allstate Investments

"This book is a service to our industry."

Robert J. Greer, Senior VP, Real Return Product Manager, PIMCO