Fri, Sep 30, 2016
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 - Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements, Cambridge: Look to private investments for best access to LatAm growth[more]

    Hedge funds’ study reveals vast disparity in types of investors securing side letter arrangements A new study of the hedge fund space by industry law firm Seward & Kissel LLP reveals a wealth of information regarding established hedge fund managers’ use of side letters—special agreements

  2. Activist News - Caesars 'optimistic' on deal with hedge fund creditors[more]

    From Reuters.com: Caesars Entertainment Corp said on Monday it remains "optimistic" of reaching a $5 billion deal with the bulk of its creditors to push its main operating unit out of bankruptcy, but one hedge fund bondholder said it will pursue litigation. Caesars offered a sweetened $5 billion set

  3. Hedge funds recover from losses as central banks give markets a respite[more]

    Komfie Manalo, Opalesque Asia: The Lyxor Hedge Fund index was up 0.4% from the week ending September 20 (-2.4% YTD), supported by the willingness of central banks to remain accommodative, Lyxor Asset Management said in its weekly briefing. It ad

  4. Perry Capital closing flagship fund after almost three decades[more]

    From Blooomberg.com: Richard Perry, one of the biggest names in hedge funds, is calling it quits after 28 years. Perry, 61, is winding down his New York-based flagship fund as the industry confronts one of the most tumultuous periods in its history. In a letter to investors Monday, he said his style

  5. Eden Rock buys Gottex stake in ERG Asset Management[more]

    Matthias Knab, Opalesque: Eden Rock Group announced the purchase of Gottex’s stake in ERG Asset Management and so the firm is now wholly owned by Eden Rock. The two firms established the joint venture in 2011 to focus on providing cost effective solutions to funds holding illiquid investments, as