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.


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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