Risk Management and Portfolio Construction in a Commodity Futures Program
10 Pages Posted: 24 Jul 2015
Date Written: August 4, 2007
The focus of this paper will be on risk management within the context of a total-return futures program centered on commodities. 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.
Keywords: commodity, futures, risk management
JEL Classification: G1, G11
Suggested Citation: Suggested Citation