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Portfolio Risk Measurement in Commodity Futures Investments
When an investor elects to invest in a commodity index product, that investor realizes that he or she will earn the inherent return of the asset class and will be able to do so cheaply, but will not be provided with any downside risk protection.
Author(s) :
Principal, Premia Capital Management, LLCResearch Associate with the EDHEC Risk and Asset Management Research Centre
Presentation :
It will be the responsibility of the investor either time to the investments in commodity indices or to create a properly balanced overall portfolio, so as to avoid downside risk. Instead, when an investor chooses to invest in an actively managed commodity program for further added value, then that investor expects the potential downside of the active investment to be carefully managed. This paper covers the crucial elements of an active commodity manager's risk measurement process. The author specifically discusses what should be included at both the strategy and portfolio level.| Type : | Working paper |
|---|---|
| Date : | le 05/09/2005 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 20 business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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