Risk Management and Portfolio Construction in a Commodity Futures Program

10 Pages Posted: 24 Jul 2015

See all articles by Joseph Eagleeye

Joseph Eagleeye

Premia Research LLC

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

Date Written: August 4, 2007

Abstract

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

Eagleeye, Joseph and Till, Hilary, Risk Management and Portfolio Construction in a Commodity Futures Program (August 4, 2007). Available at SSRN: https://ssrn.com/abstract=2634709 or http://dx.doi.org/10.2139/ssrn.2634709

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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