The Fundamentals of Commodity Futures Returns PDF Download
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Author: Gary Gorton
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 45
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Book Description
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums.
Author: Gary Gorton
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 45
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Book Description
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums.
Author: Gary B. Gorton
Publisher:
ISBN:
Category :
Languages : en
Pages : 63
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Book Description
Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian quot;hedging pressurequot; hypothesis that these positions are an important determinant of risk premiums.
Author: Thomas Hoehl
Publisher: GRIN Verlag
ISBN: 3656047715
Category : Business & Economics
Languages : en
Pages : 89
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Book Description
Master's Thesis from the year 2011 in the subject Economics - Finance, grade: 8,0, Maastricht University (School of Business and Economics), language: English, abstract: This study finds that while a large part of the variation in crude oil futures prices is driven by fundamental factors, financial investment and speculation has the potential to aggravate reactions to changing fundamental variables and furthermore move prices on its own. The evidence is gathered by performing linear regressions and Granger Causality tests on futures returns, position data of different categories of futures traders on the New York Mercantile Exchange and proxies for relevant fundamental factors such as equity and exchange rate returns gathered from August 2006 to December 2010. While higher prices for crude oil naturally come along with increasing physical demand and finite world supply, future regulation might temper market volatility and guarantee that prices reflect a sustainable physical market equilibrium. The study also gives an overview of commodity market regulation and position limits on futures markets.
Author: Adam Dunsby
Publisher: John Wiley & Sons
ISBN: 9780470262641
Category : Business & Economics
Languages : en
Pages : 304
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Book Description
Straightforward and accessible, Commodity Investing balances academic-quality analysis with clear, compelling prose, and provides those interested in this fast-growing field with unparalleled investment insights. Page by page, you’ll acquire a deeper understanding of this discipline and discover how to make more informed decisions when investing in such a dynamic environment. With this book as your guide, you’ll benefit from the lessons of experienced practitioners and quickly come to grips with what it takes to make it in today’s commodity market.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470293209
Category : Business & Economics
Languages : en
Pages : 986
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Book Description
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Author: Rómulo Alves
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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Book Description
We find that commodity futures returns contain information relevant to stock market returns and macroeconomic fundamentals for a large number of countries. Commodity futures returns predict stock market returns in 59 out of 70 countries and macroeconomic fundamentals in 62 countries. This predictability is not concentrated in the energy and industrial metals sectors, as it is economically and statistically significant across all sectors. Surprisingly, we find that the role of countries' dependence on commodity trade is limited in its ability to account for this predictability. This holds true even when considering new measures that take into account indirect exposures through financial and trade linkages between countries. We find much stronger evidence of predictability being related to the ability of commodities to forecast inflation rates. Overall, our evidence is consistent with commodity markets having a truly global information discovery role in relation to financial markets and the real economy.
Author: Mary B. Holihan
Publisher: Atlantic Publishing Company
ISBN: 1601380038
Category : Commodity exchanges
Languages : en
Pages : 290
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Book Description
Many people have become very rich in the commodity markets. It is one of a few investment areas where an individual with limited capital can make extraordinary profits in a relatively short period of time. Commodities are agreements to buy and sell virtually anything that is harvested except onions. (A 1958 federal law prohibits trading onions.) Such goods are raw or partly refined materials whose value mainly reflects the costs of finding or gathering them. They are traded for processing or incorporation into final goods. Examples are crude oil, cotton, rubber, grains, and metals and other minerals. Since it is impractical to transport these bulky, often perishable materials, what is actually traded are commodities futures contracts, or options, that are agreements to buy or sell at an agreed upon price on a specific date. Trading in futures and options is speculative in nature and there is a substantial risk of loss. These investments are not suitable for everyone, and only risk capital should be used. As with many other business segments, the Internet and technology have opened up this attractive marketplace to a new breed of individual investors and speculators working part-time. You and I can now stand on an even playing field with the largest banks, wealthiest individuals, and trading institutions from the comfort of home. Commodity trading can provide you with very high, secure rate of return, in some cases as high as 12%, 18%, 24%, or even 300% or more per year. If performed correctly, commodity trading will far outpace all other investments. The key is to know how to perform this process correctly. This all sounds great, but what is the catch? There really is none, except you must know what you are doing! This book will provide everything you need to know to get you started generating high investment returns from start to finish. In this easy to read and comprehensive book you will learn what commodity trading and futures are, how to set up your account online, how to choose software to use in trading, how to invest in commodities, evaluate their performance, and handle fees and taxes. This book explores numbers of investing strategies and tactics, charting techniques, and position trading. You will pick up the language of a trader so that you recognize terminology and know how to use leverage, call options, put options, advancing and declining issues, advancing and declining volume, the Commodity Channel Index (CCI), and commodity charts, among others. Like the pros who have been trading commodities for years, you will learn how to pinpoint entry, exits, and targets for your trades, and use insider secrets to help you double or even triple your investment all while avoiding the common traps and pitfalls. Aside from learning the basics of commodity and futures trading you will be privy to their secrets and proven successful ideas. Instruction is great, but advice from experts is even better, and the experts chronicled in this book are earning millions. If you are interested in learning essentially everything there is to know about commodity and futures investing in addition to hundreds of tactics, tricks, and tips on how to earn enormous profits in commodity trading while controlling your investments, then this book is for you. Atlantic Publishing is a small, independent publishing company based in Ocala, Florida. Founded over twenty years ago in the company presidentâe(tm)s garage, Atlantic Publishing has grown to become a renowned resource for non-fiction books. Today, over 450 titles are in print covering subjects such as small business, healthy living, management, finance, careers, and real estate. Atlantic Publishing prides itself on producing award winning, high-quality manuals that give readers up-to-date, pertinent information, real-world examples, and case studies with expert advice. Every book has resources, contact information, and web sites of the products or companies discussed.
Author: Harold Kent Baker
Publisher: Oxford University Press
ISBN: 0190656018
Category : Business & Economics
Languages : en
Pages : 681
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Book Description
Commodities: Markets, Performance, and Strategies provides a comprehensive look at commodity markets along many dimensions. Its coverage includes physical commodity fundamentals, financial products and strategies for commodity exposure, and current issues relating to commodities. Readers interested in commodity market basics or more nuanced details related to commodity investment can benefit.
Author: M. A. H. Dempster
Publisher: CRC Press
ISBN: 1498712339
Category : Business & Economics
Languages : en
Pages : 725
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Book Description
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Author: Frans de Roon
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
In this paper we study consumption risk pricing in commodity futures markets. We find that, like stock returns, the conditional Consumption CAPM explains up to 60% of the cross sectional variation in mean futures returns. However, unlike stock returns, using contemporaneous plus future consumption growth reduces the performance of the model. We attribute this result to the fact that for commodities supply changes impact prices and therefore consumption. Consistent with this notion we find that production- and inventory-based factors are significant determinants of the long run risk in commodities markets, which may explain the poor performance of ultimate consumption risk model.
