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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.