Advanced Commodity Investment Seminar - Course Contents29-30 October, 2012 - New York
Course Contents & Outline
The Advanced Commodity Investment Seminar provides a comprehensive
overview of commodities markets and investments, detailed knowledge of commodity futures pricing, and state-of-the-art techniques for strategic and tactical asset allocation to commodities. It also sheds academic light on the available investment vehicles, on the financialisation of commodity markets and the role of speculators.
- What are the fundamentals of commodity futures pricing?
- How incidental are hedging pressure and inventory levels at capturing the risk premium present in commodity futures markets?
- How to integrate commodities in strategic asset allocation decisions?
- How to optimise the diversification properties of commodity programmes?
- How to use commodities as hedge against inflation?
- What is the case for commodities as a tactical asset class?
- How to decide between active and passive commodity investing?
- How to choose between competing commodity indices?
- Is there a justification for investing through CTAs?
- Shall we hold speculators or fundamentals responsible for the recent volatility spikes observed in commodity markets?
A typical programme day lasts from 8:30 am to 6:00 pm and is usually divided into lectures and application cases. The two class sessions in each half-day period are separated by 30 minute refreshment breaks. Lunch is included.
Part I: Commodities Fundamentals
1) Commodity markets and outlook
2) Fundamentals of commodity future pricing
- The asset pricing perspective: CAPM and APT
- The insurance perspective: Normal backwardation
- The hedging pressure hypothesis
- The theory of storage
1) Performance: Is there a risk premium in long-only commodity futures markets?
- The case of commodity futures indices
- The case of individual commodity futures
- High volatility of commodity futures
- Commodity futures as a hedge against inflation
- Other traditional systematic risk factors
- Efficient frontiers with and without commodities: In-sample results
- Out-of-sample performance of optimally diversified portfolios
- Conditional correlations between long-short commodity portfolios and traditional assets
1) Hedging pressure strategy
2) Term structure strategy
3) Momentum strategy
4) Double-sort strategy combining term structure and momentum signals
5) Performance of single and double-sort portfolios relative to a hedging pressure benchmark
6) Idiosyncratic volatility strategy
7) Economic strategy
8) Contrarian strategy
Part IV: Investment Opportunities
1) Investment vehicles
- Underlying commodities
- Commodity futures
- Natural resources companies
- Mutual funds, ETFs
- OTC commodity return swaps
- Commodity-linked notes and medium-term notes
- Non-financial CTAs and Natural resource sector hedge funds
- Traditional or first generation indices
- Second generation indices
- Third generation indices
1) Setting up the debate
2) Do fundamentals justify record high prices? Evidence from the oil market
3) Did the financialization of commodities create a speculative bubble?
- Relation between Commodity Index Traders and futures prices
- Correlations across commodities
- Was speculation excessive compared to hedging demand?
Advanced Commodity Investment Seminar: