The Handbook of Commodity Investing

Contents

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 Füss, 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 ...