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.


Hilary Till

Principal, Premia Capital Management, LLCResearch Associate with the EDHEC Risk and Asset Management Research Centre

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.
Portfolio Risk Measurement in Commodity Futures Investments...
(-1.00 B)
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

See Also

Bond Portfolio Optimization in the Presence of Duration Constraints - EDHEC-Risk Institute research article in the Journal of Fixed Income
- 19-07-2018
We are pleased to enclose an EDHEC-Risk Institute research article published in the...
Lionel Martellini discussed ageing population: goal-based investing and its application to the retirement problem
- 10-07-2018
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-...
[EDHEC Experience] Light on the first urban Lab of Latin America
- 09-07-2018
Wide Open: in the explorers' shoes The third stopover of the Wide Open project has been...
EDHECInfra Days: Infrastructure Investors need proper benchmarks
- 05-07-2018
Earlier this month we held the first EDHECinfra Days event in London, bringing together...