Sun, Apr 19, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

New Edhec study finds commodities still offer diversification benefits

Tuesday, October 25, 2011

amb
Joelle Miffre
By Beverly Chandler, Opalesque London:

The latest study from the Edhec-Risk Institute tackles the issue of whether investing in commodities for financial gain has caused greater volatility and a decade long rise in commodity prices over recent years.

The study, entitled 'Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation' and authored by EDHEC-Risk Institute Professor Jolle Miffre was produced with market data and support from CME Group. It also sought to clarify whether increased use of commodities as investment tools has caused them to lose their traditional strength of non-correlation with financial investments.

The study starts by examining the performance and risk characteristics of long-only commodity index investments favoured by passive investors and of long/short commodity strategies of the kind implemented by hedge fund managers. The research is based on an exercise of mimicking the trading behaviour of long-short participants in commodity futures markets over the period 1992-2011, using data pulled from Datastream.

This is done by implementing a battery of long-short strategies, where these strategies are based on a momentum signal, on the slope of the term structure, on a doublesort that combines momentum and term structure signals, or on the positions of commercial traders (also often termed "hedgers") and non-commercial traders (also often referred to as "speculators").

The fi......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Studies - Fund managers bullish on equities, alternative asset classes, Hedge funds starting to spurn emerging markets, Insurance companies take aggressive approach to hedge funds despite restricted exposure[more]

    Fund managers bullish on equities, alternative asset classes From Benefitnews.co: Asset allocation and risk continue to be the top issues for institutional investors in 2015 and, while nobody is sure what the economy will do in 2015, investment fund managers remain positive about investm

  2. Investing - New hedge fund strategy: Dispute the patent, short the stock, David Einhorn bets on AerCap as leasing company avoids turbulence, Top hedge funds reveal these best investing ideas, Hedge funds bet big on PetSmart price bump, Victory Park Capital increases investment in upstart to $500m[more]

    New hedge fund strategy: Dispute the patent, short the stock From WSJ.com: A well-known hedge-fund manager is taking a novel approach to making money: filing and publicizing patent challenges against pharmaceutical companies while also betting against their shares. Kyle Bass, head of Hay

  3. Tiger Global falls 2.9% in March, down 5.3% in Q1[more]

    From Reuters.com: Investment firm Tiger Global Management, one of the hedge fund industry's most closely watched players, told clients that its hedge fund lost 5.3 percent during the first quarter, an investor said on Wednesday. Much of the decline came in March when the fund lost 2.9 percent,

  4. It’s not just hedge funds—IMF study finds stability risks from ‘vanilla’ funds[more]

    From MarketWatch.com: Leveraged hedge funds and banklike money-market funds are the parts of the asset-management industry most associated with risks to financial stability. But a report from the International Monetary Fund suggests that “plain-vanilla” mutual funds and exchange-traded funds also ca

  5. Hedge funds gain 2.4% in Q1 driven by currency and commodity markets[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted positive results last March to conclude a strong first quarter, with performance driven by strong macro trends in currency and commodity markets, complemented by broad-based gains and positioning in event driven, equity hedge and fixed income-b

 

banner