Intelligent Commodity Investing

Incisive Media, March 2007, Pages: 350

"In recent years, commodity investing has come of age. But the analytical underpinnings of the market are still less well understood than those of markets in other asset classes. Till and Eagleeye have, in this collection, gone a long way towards filling that gap, and in an easily comprehensible style. It will be 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)

"From lasting principles in commodities investing to recent trends and leading edge techniques, this book covers a full range of concepts that are critical for anyone investing in these markets. At once comprehensive and relevant to the current environment, this book offers important information to both the experienced commodities practitioner as well as those simply interested in learning more about these increasingly important markets."
Mr. David Kuenzi, Head of Risk Management and Quantitative Research, Glenwood Capital Investments, LLC; A member of the Man Group

“This book is a service to our industry.”
Robert J. Greer, Senior VP, Real Return Product Manager, PIMCO

As commodities move into the realm of respectable investments and with research continually demonstrating their attractiveness in an overall portfolio, this book provides institutional investors with a framework for intelligent commodity investing.

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

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.

Diapason Commodities Management SA
Zhengzhou Commodity Exchange
UBS Securities LLC
AIG Financial Products
Black Swan Risk Advisors, LLC
Hilary Till,
Premia Capital Management, LLC
Deutsche Bank
Centre for International Securities and Derivatives Markets
Chartered Alternative Investment Analyst Association

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