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
