Commodities

Markets, Performance, and Strategies

Edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Financial Markets and Investments

Provides a detailed look at physical commodity markets and the investment vehicles available to access these markets.
Discusses the economic fundamentals of physical markets that link to financial vehicles used to access the unique risk and return characteristics inherent in commodity investment.
Contains four to six discussion questions that help to reinforce key concepts at the end of each chapter.

Commodities

Markets, Performance, and Strategies

Edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Financial Markets and Investments

Description

Commodities: Markets, Performance, and Strategies provides a comprehensive view of commodity markets by describing and analyzing historical commodity performance, vehicles for investing in commodities, portfolio strategies, and current topics. It begins with the basics of commodity markets and various investment vehicles. The book then highlights the unique risk and return profiles of commodity investments, along with the dangers from mismanaged risk practices. The book also provides important insights into recent developments, including high frequency trading, financialization, and the emergence of virtual currencies as commodities. Readers of Commodities: Markets, Performance, and Strategies can gain an in-depth understanding about the multiple dimensions of commodity investing from experts from around the world.

Commodity markets can be accessed with products that create unique risk and return dynamics for investors worldwide. The authors provide insights in a range of areas, from the economics of supply and demand for individual physical commodities through the financial products used to gain exposure to commodities. The book balances useful practical advice on commodity exposure while exposing the reader to various pitfalls inherent in these markets. Readers interested in a basic understanding will benefit as will those looking for more in-depth presentations of specific areas within commodity markets. Overall, Commodities: Markets, Performance, and Strategies provides a fresh look at the myriad dimensions of investing in these globally important markets.

Commodities

Markets, Performance, and Strategies

Edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Financial Markets and Investments

Contents

Acknowledgments
About the Editors
About the Contributors
List of Figures
List of Tables
Abbreviations

Part One BACKGROUND
1. Commodities: An Overview
H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

2. The Economics of Commodities and Commodity Markets
Florian Ielpo

3. Commodity Exchanges and Regulation
Jerry W. Markham

4. Behavioral Aspects of Commodity Markets
John R. Nofsinger, Pattanaporn Chatjuthamard, and Xu Dai

5. Commodity Derivatives
Neil C. Schofield

6. Fundamentals and Commodity Prices
Michael S. Haigh

Part Two PHYSICAL COMMODITIES
7. Physical Commodities
Xiaohu Deng, Seow Eng-Ong, and Andrew C. Spieler

8. Agricultural
Nicole Moran and Kelsey Syvrud

9. Energy
Michael A. Penick and Lynn Riggs

10. Livestock
Xiaohu Deng, Andrew C. Spieler, and Desmond Tsang

11. Metals
Greg Leonard and Chanel O'Neill
Part Three METHODS TO INVEST IN COMMODITIES

12 Commodity Trading Advisors and Managed Futures
Koray Simsek and Halil Kiymaz

13. Commodity Exchange-Traded Funds
Christopher Milliken, Ehsan Nikbakht, and Andrew C. Spieler

14. Commodity Mutual Funds
Gustavo Camilo, Janko Cizel, and Paul Zurek
Part Four PERFORMANCE OF COMMODITIES

15. Pricing of Futures Contracts
Timothy A. Krause

16. Commodity Return Characteristics
Dianna Preece

17. Issues in Commodity Benchmarking Performance
Aaron Filbeck

18. Volatility Transmission across Commodity Futures Markets
Frankie Ho-Chi Chau and Rataporn Deesomsak

Part Five STRATEGIES AND PORTFOLIO MANAGEMENT

19. Commodities in International and Emerging Markets
Kamal Smimou

20. Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
Hilary Till, Joseph Eagleeye, and Richard Heckinger

21. Asset Allocation Strategies and Commodities
Claudio Boido

22. Food Prices and Food Price Volatility: Strategies for Extending the Reach of Risk Markets
Donald F. Larson

Part Six ISSUES INVOLVING COMMODITIES

23. High Frequency Trading of Commodities
Raymond P. H. Fishe and Aaron D. Smith

24. Energy Risk Management
Thomas Barkley, Mingwei (Max) Liang, and Andrew C. Spieler

25. Financialization of Commodity Markets
Kyle J. Putnam and Ramesh Adhikari

26. Virtual Currencies as Commodities
Lamia Chourou, Samir Saadi, and Azizah Aljohani

27. Research Issues in Commodities and Commodity Markets
Scott Mixon

28. Future of Commodity Markets and Investments
Hunter M. Holzhauer

Discussion Questions and Answers
Index

Commodities

Markets, Performance, and Strategies

Edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Financial Markets and Investments

Author Information

H. Kent Baker is a University Professor of Finance in the Kogod School of Business at American University. He has authored or edited 29 books and has published more than 170 refereed articles in such journals as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, and Journal of Portfolio Management. He has consulting and training experience with more than 100 organizations.

Greg Filbeck is a Samuel P. Black III Professor of Finance and Risk Management at Penn State Behrend and serves as the Director for the Black School of Business. Professor Filbeck has authored or edited 10 books and published more than 90 refereed academic journal articles appearing in the Financial Analysts Journal, Financial Review, and Journal of Business, Finance, and Accounting.

Jeffrey H. Harris is the Gary Cohn Goldman Sachs Chair in Finance in the Kogod School of Business at American University. Professor Harris has served as Chief Economist at the U.S. Commodity Futures Trading Commission and has published 24 refereed articles in such journals as the Energy Journal, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Review of Financial Studies, Financial Management, and Journal of Futures Markets.

Contributors:

H. Kent Baker
Greg Filbeck
Jeffrey H. Harris
Ramesh Adhikari
Azizah Aljohani
Tom Barkley
Claudio Boido
Gustavo Camilo
Pattanaporn Chatjuthamard
Frankie Ho-Chi Chau
Lamia Chourou
Janko Cizel
Xu Dai
Rataporn Deesomsak
Xiaohu Deng
Joseph Eagleeye
Aaron Filbeck
Raymond P. H. Fishe
Michael S. Haigh
Richard Heckinger
Hunter M. Holzhauer
Florian Ielpo
Halil Kiymaz
Timothy A. Krause
Donald F. Larson
Greg Leonard
Mingwei (Max) Liang
Jerry Markham
Christopher Milliken
Scott Mixon
Nicole Moran
Ehsan Nikbakht
John R. Nofsinger
Chanel O'Neill
Michael A. Penick
Kyle J. Putnam
Lynn Riggs
Samir Saadi
Neil C. Schofield
Koray D. Simsek
Kamal Smimou
Aaron Smith
Andrew C. Spieler
Kelsey Syvrud
Hilary Till
Desmond Tsang
Paul Zurek

Commodities

Markets, Performance, and Strategies

Edited by H. Kent Baker, Greg Filbeck, and Jeffrey H. Harris

Financial Markets and Investments

Reviews and Awards

"The coverage of the commodity markets as well as their workings and regulations is excellent. The editors have put together a book that will be of use not only to researchers but to graduate students of business and economics who are looking for an in-depth resource on commodities." --T. M. Marini, University of Virginia, CHOICE