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Über dieses Buch

The landscape of commodity markets has drastically changed in recent years. Once a market of refineries and mines, it has become the market of investment funds and commodity trading advisors. Given this transformation, are commodity investments still as beneficial as 20 or 30 years ago? This book is an attempt to answer these questions.

Inhaltsverzeichnis

Frontmatter

Chapter One. Asset Allocation in Commodity Markets

The focus of this book is strategic asset allocation in commodity markets in relation to the phenomenon of financialization, which is the growing importance of financial investors to these markets. Terms such as asset class, strategic allocation, and even commodities, are not unambiguously understood in existing literature on the subject. The aim of this chapter is to clarify the key issues discussed in the book. In the first place, we will discuss and understand the classes of investment assets; next, we will define strategic asset allocation; and finally, we will propose methods aimed at gaining exposure to commodity markets and examine their importance to this study.
Adam Zaremba

Chapter Two. Passive Investment Strategies in Commodity Markets

This chapter is devoted to passive investments in commodity markets with a portfolio of futures contracts. The aim of this chapter is to provide a detailed discussion of how investments in futures contracts in the commodity markets operate, with particular emphasis on the existing sources of profit and the methods of their exploitation by the investor, using different baskets of futures that comprise the commodity indices. A thorough understanding of sources of profit in the commodity markets of futures is necessary for further analysis of the potential impact of the financialization of the commodity markets on the validity of investing capital in these markets.
Adam Zaremba

Chapter Three. Active Investment Strategies in Commodity Markets

This chapter describes managed futures as an example of an active investment strategy in the commodity markets. The aim of this chapter is to make a detailed presentation and provide characteristics of this investment asset class, particularly in terms of the operation and the selection of the proper benchmark for empirical research on financialization of the commodity markets.
Adam Zaremba

Chapter Four. Financialization of Commodity Markets

The process that led the world economy to the global financial crisis, as well as its explosion, was accompanied by an unprecedented increase of prices in the commodity markets. The boom in the years 2002–2008 was exceptional on many levels: in terms of its length, the scale of the increases, and in the scope of markets and instruments that it concerned. The commodity boom raised food problems in many developing countries (TDR 2008; Food & Water Watch 2009; Gayi 2012), and later, the sharp drop in prices was a key channel that transmitted the economic downturn from the developed countries to the developing countries (TDR 2009).
Adam Zaremba

Chapter Five. Performance Measurement of Commodity Investments

It is necessary to select appropriate measures to properly and fairly evaluate the validity of investment in commodity indices and managed futures. In the literature, there is a wide range of measures that are used for assessment of the financial investments. Those most commonly used, however, have been built for traditional asset classes (stocks, bonds, etc.), so they are not always fully suitable for the evaluation of alternative investments. Nonetheless, generally, the more recent measures are also not free from defects.
Adam Zaremba

Chapter Six. Commodity Investments in Financialized Markets—a Study

Does it make sense to allocate a part of the portfolio to commodities? Current research on this issue largely ignores the changes that have occurred in the commodity markets over the last decade. As a result, the problem of optimization of the portfolio with commodities is still relevant and current. This chapter presents the results of a simple study that makes an attempt to answer the question about the validity of investing in commodities in the context of structural changes in the markets. I show the results of a series of tests that examine the performance of commodity investments in times of financialization and before them.
Adam Zaremba

Conclusions

The practice of investment points to two basic ways to get exposure to the commodities market: by direct investment in futures contracts, which are components of baskets of commodity indices or subindices, and by active investments through futures contract funds. Both methods are characterized by rather different properties and sources of profit.
Adam Zaremba

Backmatter

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