The Design of a Commodity Futures Trading Program

21 Pages Posted: 16 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Joseph Eagleeye

Premia Research LLC

Date Written: September 23, 2003

Abstract

This article provides a step-by-step primer on how to design a commodity futures trading program. A prospective commodity manager must not only discover trading strategies that are expected to be generally profitable, but must also be careful regarding each strategy’s correlation properties during different times of the year and during eventful periods. One must also ensure that the resulting product has a unique enough return stream that it can be expected to provide diversification benefits to an investor’s overall portfolio.

Keywords: Commodity futures, Portfolio construction, Risk measures

JEL Classification: G1, G11

Suggested Citation

Till, Hilary and Eagleeye, Joseph, The Design of a Commodity Futures Trading Program (September 23, 2003). Available at SSRN: https://ssrn.com/abstract=2606296 or http://dx.doi.org/10.2139/ssrn.2606296

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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