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“Intelligent Commodity Trading and Risk Management”

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					“Intelligent Commodity Trading and Risk Management”

               A Presentation Co-sponsored by
             PRMIA-Chicago, CAIA-Chicago, and
 the Arditti Center for Risk Management, DePaul University


                      June 30, 2011

Ms. Hilary Till, Principal, Premia Capital Management, LLC;

       Fellow, Arditti Center for Risk Management,
                    DePaul University;
        Research Associate, EDHEC-Risk Institute;
    Steering Committee Member, PRMIA-Chicago; and

Member of the Commodities & CTAs Curriculum Committee,
                  CAIA Association
                                          Disclaimers

•   This presentation is provided
    for educational purposes only
    and should not be construed
    as investment advice or an
    offer or solicitation to buy or
    sell securities or other financial
    instruments.
•   The opinions expressed during
    this presentation are the personal 1929 stock certificate for crude-oil-development company in Alberta,
    opinions of Hilary Till and do not    Canada.


    necessarily reflect those of other organizations with which Ms. Till is
    affiliated.
•   Any (inadvertent) errors and omissions are the responsibility of Ms.
    Till alone.
                                                                                                              2
        Commodity Futures Trading & Risk Management *


I.             Commodity Speculation

II.            Risk Management

III.           Commodity Product
               Innovations

      * For an article based
      on this presentation,
      please see: Till, H.,
      2011, “Intelligent
      Commodity Trading &
      Risk Management,”
      Commodities Now,
      http://www.commodities
      -now.com, March, pp.
      63-68.                           Icon above is based on the statue in the
                                       Chicago Board of Trade plaza.



                                                                                  3
                  I. Commodity Speculation


A.   Historical View

B.   CFTC Data

C.   Prices and Futures Positions

D.   Comparison to Fundamental Factors




                                             4
                             A. Historical View


  Holbrook Working’s Four Conditions for a Futures Market to
  Survive and Prosper

  1.       The contract terms and commission
           charges must be such as to attract
           appreciable use of the futures
           contract for merchandising purposes.

  2.       There must exist a possibility of
           attracting enough speculation to
           provide at least a reasonably fluid
           market.




Source: Working (1970).                                        5
                            A. Historical View


Holbrook Working

3.        Handlers of the commodity must have reason to make substantial
          use of the futures contracts as temporary substitutes for
          merchandising contracts that they will make later.

4.        There must exist adequate public recognition of the economic
          usefulness of the futures market.




Source: Working (1970).                                                    6
                                 A. Historical View


University of Illinois Research: Is There Excessive Speculation
in the Agricultural Futures Markets?


•     While the increase in long-only speculation has
      received the most publicity, the increase in the
      size of short hedging positions is equally
      interesting.

•     Agricultural futures contracts have not had a
      historically high level of speculative (vs. hedging)
      activity, based on Working’s Speculative T index.


Source: Sanders et al. (2008).                                    7
                               B. CFTC Data

Disaggregated Commitments of Traders Report

•     The T index is a traditional metric for evaluating
      the balance of speculation-versus-hedging in a
      futures market.

•     With the 2009 release of additional CFTC data,
      one can calculate the T index for the U.S. oil
      exchange-traded futures-and-options markets.

•     One can examine the historical agricultural          This EDHEC‐Risk Position Paper on
                                                           Excessive Speculation is available
      futures markets as a guide to the typical balance    at:
                                                           http://www.edhec‐risk.com.
      of hedging-versus-speculation over many
      decades.

Source: Till (2009a).                                                                           8
                               B. CFTC Data


  US Oil Futures Markets

  •     Based on this traditional speculative metric,
        the balance of outright speculators in the
        NYMEX oil futures markets does not appear
        excessive relative to commercial hedging
        needs.
                                                        Source: Till (2009b).

  •     See next slides for other related research.




Source: Till (2009a).                                                           9
                                        C. Prices and Futures Positions

Managed Money and Swap Dealer Positions

                                                          Oil Prices and Futures Positions
                                                  Weekly Data, June 2006 through October 2009,
                                               Positions are for Managed Money and Swap Dealers,
                                                                Futures Plus Options

                250,000                                                                                                      $160

                                                                                                                             $140
                                                                                           Oil Prices
                200,000
                                    Net Positions                                                                            $120




                                                                                                                                    Price in $ per Barrel
                                                                                                                             $100
                150,000
    Contracts




                                                                                                                             $80

                100,000
                                                                                                                             $60

                                                                                                                             $40
                 50,000
                                                                                                                             $20

                    -                                                                                                        $-
                        Jun-06                       Jun-07                       Jun-08                    Jun-09

                          Managed Money and Sw ap Dealer Futures-and-Options Positions     Front-Month NYMEX Oil Futures Price


  Graph Based on Ribeiro et al. (2009), Chart 1.


Source: Ribeiro et al. (2009).                                                                                                                              10
                        C. Prices and Futures Positions


Oil Prices: The True Role of Speculation

•     “… we would say that alert futures traders, who
      noted that both the heating-oil crack spread and
      the Baltic [shipping] indices were successively
      peaking in the late-May-to-late-July period, had a
      number of warning signs that a fundamental
      source of demand for oil appeared to be
      diminishing in short order.”

                                                           Source: Amenc et al. (2008).
                                                           This EDHEC-Risk Position
                                                           Paper on Speculation is
                                                           available at:
                                                           http://www.edhec-risk.com.




Source: Till (2008b).                                                                11
                      C. Prices and Futures Positions

Oil Prices: The Actual Impact of Speculation
                                                                                Hypothesized Direction of Causality
                                                                  Price Changes lead Position      Position Changes lead Price
•    “[T]hese tests are consistent       Trader Classification
                                                                           Changes                           Changes
                                                                  Direction Significant? P Value Direction Significant? P Value

     with the view that current oil   All Commercials (includes
                                      Manufacturers, Commercial
                                                                     +         Yes        .000        -          No      .418
                                      Dealers, Producers, Other
     prices are being driven by        Commercial Traders, and
                                            Swap Dealers)

     fundamental supply and                    Manufacturers
                                            Commercial Dealers
                                                                     +
                                                                     +
                                                                               Yes
                                                                               Yes
                                                                                          .000
                                                                                          .000
                                                                                                      -
                                                                                                      -
                                                                                                                 No
                                                                                                                 No
                                                                                                                         .225
                                                                                                                         .130

     demand factors.”                            Producers
                                             Other Commercial
                                                                     +

                                                                     -
                                                                               Yes

                                                                               No
                                                                                          .036

                                                                                          .623
                                                                                                      -

                                                                                                      -
                                                                                                                 No

                                                                                                                 No
                                                                                                                         .160

                                                                                                                         .918
                                                  Traders
                                                Swap Dealer          -         Yes        .001        -          No      .582
                                         All Non-Commercials
                                       (includes Hedge Funds,        -         Yes        .000        -          No      .451
                                       Floor Brokers & Traders)
                                                Hedge Funds          -         Yes        .000        -          No      .510
                                               Floor Brokers &
                                                                     -         No         .683        -          No      .351
                                                   Traders
                                               Non-Registered
                                                                     -         No         .873        -          No      .575
                                                 Participants
                                         All Non-Commercials
                                         combined with Swap          -         Yes        .000        -          No      .251
                                                Dealers
                                      Source: Buyuksahin, B. and J. Harris, 2008, “Do Speculators Move Crude Oil
                                      Prices?”, CFTC‐Office of the Chief Economist, Working Paper, Fall.
                                      The study uses daily data from January 2003 to October 2008.

Source: ITF (2009).                                                                                                      12
                                         D. Fundamental Factors

Aggregate Demand Growth

•     When “analyzing two very distinct commodities – crude oil and fine
      wine …”

•     … two International Monetary Fund researchers find that there are
      common macroeconomic factors, which “are the main
      determinants of commodity prices.”

•     “Although supply constraints have the expected effect, aggregate
      demand growth is the key factor.” [Italics added.]



Source: Cevik and Sedik (2011) as cited in Till (2011).                    13
                                         D. Fundamental Factors

Aggregate Demand Growth

•     For both crude oil and fine wine, “… advanced economies account
      for more than half of global consumption [while] emerging
      economies make up the bulk of the incremental change in demand,
      thereby having a greater weight in commodity price formation,”
      which in turn “is a recent phenomenon.”

•     That said, “global excess liquidity … is likely to have magnified the
      price pressures stemming from supply/demand imbalances.”

•     See next slide.


Source: Cevik and Sedik (2011) as cited in Till (2011).                       14
               D. Fundamental Factors
                                 Crude Oil and Fine Wine Prices
                               Nominal Prices (Jan 1998 to Jun 2010)
                                  (Index, December 2003=100)


500

450

400

350

300

250

200

150

100

50

 0
 Jan-98                        Jan-02                          Jan-06                     Jan-10
                                             Monthly Data

                                        Oil prices          Wine prices

Data: Spot price of crude is measured by the monthly average price of Brent and West Texas Intermediate.
Monthly Fine Wine prices are measured by the Liv-ex Fine Wine Investable Index.

Graph Based on Cevik and Sedik (2011), Figure 1.


                                                                                                           15
                           II. Risk Management

 A.       Institutional Risk Management

 B.       Proprietary Trading Risk Management

 C.       Hedge Fund Risk Management

 D.       Fund-of-Hedge-Funds Diversification

 E.       Market Risk Management

 F.       Due Diligence

 G.       FCM Monitoring


Based on Till (2008a).                           16
                        A. Institutional Risk Management

Case Study Lessons

•     Establish clear-cut compliance and ethics programs, not
      just for the trading staff but also for senior management.

•     Always get your marks from large, legitimate, established
      brokers, publishers, or exchanges.

•     Ensure that one’s trading activity is diversified across
      more than one broker.

•     Impose strict position limits in all electronic trading
      systems.


Source: Till (2008a).                                              17
                   B. Proprietary Trading Risk Management


Types of Risks

•     The risk of personal bankruptcy is
      sufficiently large that a complex
      system of controls and incentives
      becomes a moot point.

•     The main risks are structural
      breaks in empirical regularities.



                                           Rembrandt’s Storm on the Sea of Galilee, Isabella Stewart
                                           Gardner Museum, Boston, and Cover of Against the Gods: The
                                           Remarkable Story of Risk by P. Bernstein, (New York: John
                                           Wiley & Sons), 1996.
Source: Till (2008a).                                                                        18
                        C. Hedge Fund Risk Management


Types of Risks

•     Hedge funds are a hybrid of an institutional asset-management
      firm and a proprietary trading firm, depending on how much of
      the principals’ wealth is at risk.

•     For large-scale hedge funds, operational risk issues are what is
      paramount.




Source: Till (2008a).                                                    19
                        D. Fund-of-Hedge-Funds Diversification

  Diversification of Idiosyncratic Risks

                            A fund-of-funds can potentially dampen the
                            sharp peaks-and-troughs in profitability of
                            individual managers, as demonstrated in
                            Akey (2007).


  •      Even with this in mind, each individual manager should
         take steps to keep their market risk within well-
         understood bounds.




Source: Till (2008a).                                                     20
                        E. Market Risk Management


Elements of Commodity Risk Management

•     Trade construction

•     Sizing

•     Exit strategy

•     Scenario analyses
                                            This EDHEC‐Risk Position Paper on

•     Choice of leverage level              Amaranth is available at:
                                            http://www.edhec‐risk.com.




Source: Till (2008a).                                                           21
                              F. Due Diligence


Business Risk

•     Business Inexperience

•     Loss of Information Edge

•     Unverifiable Track Record

•     Fraud




Source: Akey et al. (2006).                      22
                                               G. FCM Monitoring


FCM Financial Monitoring

•    The CFTC monitors financial data for FCMs and provides this
     information on their website.
          Financial Data for Futures Commissions Merchants

          Futures commission merchants (FCMs) must file monthly financial reports with the CFTC's Division of Clearing and
          Intermediary Oversight within 17 business days after the end of the month. Selected financial information from these
          reports is published below. The most recent month-end information generally is added within 12 business days after
          FCMs file their reports, but occasionally may be added later. For example: The 17th business day filing “due date"
          for February 28, 2009 financial reports was March 24, 2009. The 12 business day target for posting these data was
          April 9, 2009.

          Once posted, the CFTC does not revise this information to reflect any amended financial information subsequently
          received.
          Description of Report Data Fields

                    2009
          November 30, 2009              PDF        Excel
          October 31, 2010               PDF        Excel
          September 30, 2009             PDF        Excel
          August 30, 2009                PDF        Excel
          Historical FCM Reports

Source: http://www.cftc.gov.                                                                                                     23
                  III. Product Innovations


A.   Commodity Indices

B.   Commodity Structures

C.   Commodity Investor Concerns




                                             24
                          A. Commodity Indices


Enhancement of Traditional Indices

•          Commodity-index providers have
           created next-generation indexes,
           which attempt to methodically provide
           exposure to spot commodity prices
           while minimizing the carrying costs of
           such investments, particularly in the
           energy sector.




Source: Till (2007).                                25
                                                A. Commodity Indices


 Beta
 •    Choice of index: given that the driver of returns could be
      spot returns (and not roll returns), going forward.

                           Backwardation:                                       Contango:
                    Crude Oil Curve February 2004                     Crude Oil Curve February 2007
                             Crude Oil Price Curve: February 2004                  Crude Oil Price Curve: February 2007


                        37                                                  65.5
                                                                              65
                        35                                                  64.5
                                                                              64
                        33                                                  63.5
                                                                              63
           P rice




                        31



                                                                    Price
                                                                            62.5
                                                                              62
                        29                                                  61.5
                                                                              61
                        27                                                  60.5
                                                                              60
                        25
                                                                            59.5
                                                                              59
                    Se 4


                    S e 05


                    S e 06


                    Se 7


                    Se 8


                    Se 9


                    S e 10
                    M 4


                    M 5


                    M 6


                    M 7


                    M 8


                    M 9


                           10
                         -0




                         -0


                         -0


                         -0
                           0


                           0


                           0


                           0


                           0


                           0
                         -


                         -




                         -
                        p-


                        p-


                        p-


                        p-


                        p-


                        p-


                        p-
                       ar


                       ar


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                       ar


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                                                                                  7




                                                                                  8




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                                                                                  0




                                                                                  1




                                                                                  2
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                                                                                  8




                                                                                  9




                                                                                  0




                                                                                  1




                                                                                  2
                                                                              r- 0




                                                                              r- 0




                                                                              r- 0




                                                                              r- 1




                                                                              r- 1




                                                                              r- 1
                                                                               -0




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                    M




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                                                                            O
                                                 Date
                                                                                                      Date




Source of Data: The Bloomberg.                                                                                            26
[Price is in dollars per barrel.]
                                    B. Commodity Structures


 Commodity-Linked Notes
 •    The SEC website, EDGAR, shows the latest commodity-linked
      notes issued by the money-center banks.




            [EDGAR stands for the “Electronic Data Gathering, Analysis and Retrieval” system.]



Source: EDGAR [http://www.sec.gov/edgar.shtml].                                                  27
                  B. Commodity Structures

Exchange-Traded Funds (ETFs)

•   Last year, for example, the
    first U.S. platinum and
    palladium ETFs were
    launched, giving US investors
    easier access to these metals
    for large-scale direct
    investment. (Reuters, 1/7/10)




                                            28
                         C. Commodity Investor Concerns


  Proxies for Oil Investment
  (12/31/08 to 12/31/09):

  •      Canadian dollar vs. US dollar: +15.72%

  •      Norwegian Krone vs. US dollar: +20.03%

  •      S&P GSCI All Crude Index Total Return: +13.15%

  •      Rolling Front-Month Crude Oil Futures Contract: +77.94%

  •      Exxon Mobile Corporation Total Return (Dividends
         Reinvested): -12.60%
Source of Data: The Bloomberg.                                     29
                         C. Commodity Investor Concerns


  Proxies for Oil Investment
  (12/31/09 to 5/31/11):

  •      Canadian dollar vs. US dollar: +8.75%

  •      Norwegian Krone vs. US dollar: +4.90%

  •      S&P GSCI All Crude Index Total Return: +18.25%

  •      Rolling Front-Month Crude Oil Futures Contract: +29.41%

  •      Exxon Mobile Corporation Total Return (Dividends
         Reinvested): +27.17% … BP Total Return: -17.53%
Source of Data: The Bloomberg.                                     30
                             C. Commodity Investor Concerns


  Proxy for Commodities: Canadian Dollar

  •        Using quarterly data, “As regards the most recent appreciation
           of the Canadian dollar between 2002 and 2007, the two
           common factors [i.e., commodity prices and the relative fiscal
           position of Canada and the U.S.] together explain more than 60
           percent of the appreciation in the Canada-U.S. exchange rate.

  •        “Of this rise, the U.S. [debt-related] factor … explains about 50
           percent, while commodities explain the other half.”




Source: Cayen et al. (2010) as cited in Till (2011).                           31
               C. Commodity Investor Concerns


Proxy for Commodities: Canadian Dollar

                           Debt-to-GDP Ratios: Relative to the United States
                                           Quarterly Data
                                            1970 to 2008
          40


          30


          20


          10


           0


         -10
           1970q1 1973q2 1976q3 1979q4 1983q1 1986q2 1989q3 1992q4 1996q1 1999q2 2002q3 2005q4



                                                        Canada

        Graph Based on Cayen et al. (2010), Figure 5.

                                                                                                 32
                                   Conclusion


Outlook

•    Barclays Capital noted that the reasons to still be constructive
     on commodities were as follows:
     – The historically positive                    Inflows into Commodities
        impact of negative real                     (in Billions of US Dollars)

        interest rates on
                                          80
                                          70     Medium-term notes

        commodity prices;                 60
                                          50
                                                 Exchange traded products
                                                 Index sw aps


      – The long-run
                                          40
                                          30

        diversification benefits of       20


        commodities, and
                                          10
                                          0
                                         -10

      – The potential of                 -20
                                               2000   2001      2002   2003   2004   2005   2006   2007   2008   2009   2010
        geopolitical risks to skew        Graph Based on Norrish and Sen (2011), Figure 1.
        commodity prices to the
        upside.
Source: Barclays (2010).                                                                                                 33
                               Conclusion

Outlook

•    Deutsche Bank notes that the commodity sector’s appeal
     reflects investor appetite…

       – to gain exposure to emerging markets,

       – to hedge against tail events, and

       – to hedge against possible higher inflation ahead.




Source: Lewis (2011).                                         34
                                                                       Conclusion


Performance Update Across Diverse Commodity Indices & Strategies
                                                                                                                       SPGSCI: S&P 500 Goldman Sachs Commodity
                                Commodity Index Returns Quarter to Date                                                Index

                                                                                                                       DBLCI-MR: Deutsche Bank Liquid Commodity
 10                                                                                                              8.9
                                                                                                                       Index – Mean Reversion
  8     Total returns %
  6                                                                                                                    DBLCI-OY: Deutsche Bank Liquid Commodity
                                                                                   3.9                                 Index – Optimal Yield
  4
                                                                                                   1.3
  2                                                                                                                    DJUBS: Dow Jones UBS (Commodity Index)
  0
                                                                                                                       DBLCI – MRE: Deutsche Bank Liquid Commodity
 -2
                                                                    -2.4
                                                                                                                       Index – Mean Reversion Enhanced
 -4
                         -4.1            -4.0         -3.6
 -6       -5.1                                                                                                         DBLCI Apex: Deutsche Bank Liquid Commodity
                                                                                                                       Index Apex. This index “is a risk weighted
                                                     S




                                                                                                                       combination of three strategies of mean
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                      R



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         CI




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                                                                                                                       DB Harvest: A Deutsche Bank commodity futures
                                                                                                   M
                                                                                              DB


                                                                                                                       spread strategy

                                                                                                                       DB Momentum: A Deutsche Bank commodity
 Sources of Data: Deutsche Bank, Bloomberg Finance LP (Data up to June 15, 2011).
                                                                                                                       momentum strategy
 Graph Based on Lewis et al. (2011b), p. 1.

                                                                                                                                                             35
                               Conclusion

Outlook

•   As of 6/17/11, the front-month WTI crude oil futures
    contract price was priced at $93.01 per barrel.

•   In gold terms, the price of crude oil is near its long-
    term average level. See next slide.




                                                              36
                                                                                     Conclusion

Outlook
                                                                                 Oil in Gold Terms
                                                                           Cost of 1 Ounce of Gold in Barrels of Oil
                                                       Based on Rolling Front-Month Com ex Gold and NYMEX WTI Oil Futures Contracts
                                                                                 (Monthly Data: 3/83 to 5/11)
                                                                              Long-Term Average: 15.71 Barrels


                                       35

                                       30

                                       25
                  Barrels of Oil




                                       20

                                       15

                                       10

                                        5

                                        0
                                         3


                                                   5


                                                             7


                                                                       9


                                                                                 1


                                                                                           3


                                                                                                     5


                                                                                                               7


                                                                                                                         9


                                                                                                                                   1


                                                                                                                                             3


                                                                                                                                                       5


                                                                                                                                                                 7


                                                                                                                                                                           9


                                                                                                                                                                                     1
                                       -8


                                                 -8


                                                           -8


                                                                     -8


                                                                               -9


                                                                                         -9


                                                                                                   -9


                                                                                                             -9


                                                                                                                       -9


                                                                                                                                 -0


                                                                                                                                           -0


                                                                                                                                                     -0


                                                                                                                                                               -0


                                                                                                                                                                         -0


                                                                                                                                                                                   -1
                                    ar


                                              ar


                                                        ar


                                                                  ar


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                                                                                      ar


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                                                                                                                                       M


                                                                                                                                                 M


                                                                                                                                                           M


                                                                                                                                                                     M


                                                                                                                                                                               M
                                                                                                           Month-End




Source of Data: Bloomberg.                                                                                                                                                               37
                                                            Conclusion

Outlook

                                      Spare Capacity Cushion in Question

                                                                    OPEC Spare Capacity Scenarios


                                             Libya crude oil production      Algeria crude oil production
                                6.0


                                5.0


                                4.0
               Million Bb/Day




                                                                                       `
                                3.0


                                2.0


                                1.0


                                0.0
                                      1994      1996      1998      2000   2002    2004      2006      2008   2010


          Graph Based on Lewis et al. (2011a).

                                                                                                                     38
                                                      References

Akey, R., H. Till, and A. Kins, 2006, “Natural Resources Fund-of-
Funds: Active Management, Risk Management, and Due Diligence,”
a chapter in Fund of Hedge Funds: Performance, Assessment,
Diversification and Statistical Properties (Edited by G. Gregoriou),
Oxford: Elsevier Finance, pp. 383-399.

Akey, R., 2007, “Alpha, Beta, and Commodities: Can a Commodities
Investment be Both a High-Risk-Adjusted Return Source and a
Portfolio Hedge?”, a chapter in Intelligent Commodity Investing
(Edited by H. Till and J. Eagleeye), London: Risk Books, pp. 377-417;
and in Journal of Wealth Management, Fall 2006, pp. 63–82.


                Amenc, N., B. Maffei, and H. Till, “Oil Prices: The
                True Role of Speculation,” EDHEC-Risk Publication,
                November 2008.


Barclays Wealth Americas, 2010, “Commodities Macroeconomic
Backdrop,” Barclays Wealth Americas in partnership with Barclays
Capital presentation, November.

Cayen, J-P., D. Coletti, R. Lalonde, and P. Maier, 2010, “What Drives     Degas, Edgar, “The Cotton Exchange at New Orleans,” 1873,
Exchange Rates? New Evidence from a Panel of US Dollar Bilateral          Musée Municipal, Pau, France.
Exchange Rates,” Bank of Canada Working Paper, May.
                                                                          For an article on the historical parallels between 1873 and
Cevik, S. and T. Sedik, 2011, “A Barrel of Oil or a Bottle of Wine: How   now, as seen when looking into the distant mirror of Degas’
Do Global Growth Dynamics Affect Commodity Prices?”, International        painting, please see: Till, H., 2011, “Cotton Through a Distant
Monetary Fund Working Paper, January.                                     Mirror,” Commodities Now, http://www.commodities-now.com,
                                                                          March, pp. 28-29.

                                                                                                                                  39
                                                     References

[ITF] Interagency Task Force on Commodity Markets, 2009, “Special Report on Commodity Markets,” Draft, January 5th. This
report was not formally released, but was accessed by the Wall Street Journal through a Freedom of Information Act request,
as reported in Lynch (2010). The task force was chaired by Commodity Futures Trading Commission (CFTC) staff.

Lewis, M., 2011, “Commodities Outlook,” Deutsche Bank Global Markets Research, January 11.

Lewis, M., D. Brebner, M. Hsueh, X. Fu, A. Sieminski, S. Choi, M-C., Lewis, and I. Curien, 2011a, “Commodities Weekly,”
Deutsche Bank Global Markets Research, February 25.

Lewis, M., M. Hsueh, X. Fu, A. Sieminski, S. Choi, M-C., Lewis, and I. Curien, 2011b, “Commodities Weekly,” Deutsche Bank
Global Markets Research, June 17.

Lynch, S., 2010, “CFTC Documents Reveal Internal Debate on Position Limits,” Wall Street Journal, May 14.

Norrish, K., and A. Sen, 2011, “Commodity Cross Currents,” Barclays Capital Commodities Research, March 22.

Ribeiro, R., L. Eagles, and N. von Solodkoff, 2009, “Commodity Prices and Futures Positions,” J.P. Morgan Global Asset
Allocation & Alternative Investments, December 16.

Sanders, D.R., S.H. Irwin, and R.P. Merrin, 2008, “The Adequacy of Speculation in Agricultural Futures Markets: Too Much of
a Good Thing?” Marketing and Outlook Research Report 2008-02, Department of Agricultural and Consumer Economics,
University of Illinois at Urbana-Champaign, June.

Tang, F., 2010, “U.S. Platinum, Palladium ETFs Set to Trade on Friday,” Reuters, January 7.

Till, H., 2007, “Value Investing in Commodity Futures,” The Price Report, August 21.

Till, H. (2008a), “Case Studies and Risk Management Lessons in Commodity Derivatives Trading,” a chapter in Risk
Management in Commodity Markets: From Shipping to Agriculturals and Energy (Edited by H. Geman), Chichester (UK): John
Wiley & Sons Ltd., pp. 255-291.

                                                                                                                              40
                                                        References

Till, H., (2008b), “The Oil Markets: Let the Data Speak for Itself,” EDHEC-Risk Publication, October.

Till, H., 2009a, “Has There Been Excessive Speculation in the US Oil Futures Markets? What Can We (Carefully) Conclude
from New CFTC Data?”, EDHEC-Risk Publication, November.

Till, H., 2009b, “Speculation in Oil Futures,” Financial Times, December 7.

Till, H., 2011, "Trade-Offs Between Commodity Futures and Other Proxies for Commodity Investment," Presentation at the
EDHEC-Risk Alternative Investments Days Conference, The Tower (Tower Hill)-London, April 6.

Working, H., 1970, “Economic Functions of Futures Markets,” a chapter in Futures Trading in Livestock – Origins and
Concepts (Edited by H. Bakken), Chicago Mercantile Exchange.




                                            Presentation Prepared By Katherine Farren, CAIA,
                                       Premia Capital Management, LLC, http://www.premiacap.com.
                                       ®


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    Intelligent Commodity Investing




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