Risk Management and Portfolio Construction in a Commodity Futures Programme

The focus of this article will be on risk management within the context of a total-return futures program centered on commodities.

Author(s):

Joseph Eagleeye

Principal, Premia Capital Management, LLC

Hilary Till

Principal, Premia Capital Management, LLC, andResearch Associate, EDHEC Risk and Asset Management Research Centre

The following issues will be addressed: - The evaluation of normal versus eventful risk; - The sizing of trades and strategy buckets; and - The construction of a portfolio, which takes into consideration these risk and sizing metrics. We provide examples from three historical portfolios in order to make this discussion concrete and practical.

Type: Working paper
Date: le 03/09/2007
Research Cluster : Finance

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