Handbook of Commodity Investing Book

Pt. 1 Mechanics of the Commodity Market 1

Ch. 1 A Primer on Commodity Investing Frank J. Fabozzi Fabozzi, Frank J. Roland Fuss Fuss, Roland Dieter G. Kalser Kalser, Dieter G. 3

Ch. 2 The Pricing and Economics of Commodity Futures Mark J. P. Anson Anson, Mark J. P. 38

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

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

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

Ch. 6 The Optimal Rotation Period of Renewable Resources: Theoretical Evidence from the Timber Sector Fritz Helmedag Helmedag, Fritz 145

Pt. 2 Performance Measurement 167

Ch. 7 Review of Commodity Futures Performance Benchmarks Roland Fuss Fuss, Roland Christian Hoppe Hoppe, Christian Dieter G. Kaiser Kaiser, Dieter G. 189

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

Ch. 9 Statistical Analysis of Commodity Futures Returns Reinhold Hafner Hafner, Reinhold Maria Heiden Heiden, Maria 227

Ch. 10 The Diversification Beneifts of Commodity Futures Indexes: A Mean-Variance Spanning Test Bernd Scherer Scherer, Bernd Li He Li, He 241

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

Pt. 3 Risk Management 311

Ch. 12 Some Thoughts on Risk Management forCommodity Portfolios Jeffrey M. Christian Christian, Jeffrey M. 313

Ch. 13 Effective Risk Management Strategles for Commodity Portfolios Moazzam Khoja Khoja, Moazzam 322

Ch. 14 Quantifying Cross-Commodity Risk in Portfolios of Futures Contracts Ted Kury Kury, Ted 335

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

Pt. 4 Asset Allocation 389

Ch. 16 Commodity Trading Strategies: Examples of Trading Rules and Signals from the CTA Sector Francois-Serge Lhabitant Lhabitant, Francois-Serge 391

Ch. 17 How to Design a Commodity Futures Trading Program Hilary Till Till, Hilary Joseph Eagleeye Eagleeye, Joseph 408

Ch. 18 Sources of Alpha in Commodity Investing Markus Mezger Mezger, Markus 423

Ch. 19 Efficient Frontier or Commodity Portfolios Juliane Proeiss Proeiss, Juliane Denis Schweizer Schweizer, Denis 464

Ch. 20 Active Management of Commodity Investments: The Role of CTAs and Hedge Funds R. McFall Lamm, Jr. Lamm, R. McFall, Jr. 478

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

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

Pt. 5 Commodity Products 547

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

Ch. 24 Commodity Options Carol Alexander Alexander, Carol Aanand Venkatramanan Venkatramanan, Aanand 570

Ch. 25 The Pricing of Electricity Forwards Matthias Muck Muck, Matthias Markus Rudolf Rudolf, Markus 598

Ch. 26 Securitization of Commodity Price Risk Paul U. Ali Ali, Paul U. 613

Ch. 27 Commodity Trading Advisors: A Review of Historical Performance Martin Eling Eling, Martin 626

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

Ch. 29 A Primer on Energy Hedge Funds Oliver Engelen Engelen, Oliver Dieter G. Kaiser Kaiser, Dieter G. 680

Pt. 6 Special Classes 679

Ch. 30 An Overview of Commodity Sectors Roland Eller Eller, Roland Christian Sagerer Sagerer, Christian 681

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

Ch. 32 The Effect of Gold in a Traditional Porfolio Thomas Heidorn Heidorn, Thomas Nadeshda Demidova-Menzel Demidova-Menzel, Nadeshda 736

Ch. 33 Fundamental Analysis of the World Silver Market Jeffrey M. Christian Christian, Jeffrey M. 763

Ch. 34 Investing in Base Metals Michael Killick Killick, Michael 778

Ch. 35 Electricity Trading in the European Union Stefan Ulreich Ulreich, Stefan 803

Ch. 36 The Natural Gas Market in the United Kingdom Chris Harris Harris, Chris 825

Ch. 37 Emissions Trading in the European Union Stefan Ulreich Ulreich, Stefan 844

Ch. 38 The Fundamentals of Agricultural and Livestock Commodities Ronald C. Spurga Spurga, Ronald C. 863

Ch. 39 Fundamental Analysis of the World Sugar Market Rohit Savant Savant, Rohit 888

Pt. 7 Technical Analysis 907

Ch. 40 The Prolitability of Technical Analysis in Commodity Markets Cheol-Ho Park Park, Cheol-Ho Scott H. Irwin Irwin, Scott H. 909

Index 949