Bibliography on Commodity Investing

Akey, R., 2007, "Alpha, Beta, and Commodities: Can a Commodities Investment be Both a High Risk-Adjusted Return Source and a Portfolio Hedge?" Journal of Wealth Management, Fall 2006, pp. 63-82.

Anson, M., 1998, "Spot Returns, Roll Yield, and Diversification with Commodity Futures", Journal of Alternative Investments, Winter, pp. 16-32.

Beenen, J., 2005, "Commodity Investing: A Pension Fund Perspective", Futures Industry Magazine, September/October.

Bodie, Z., and V. Rosansky, 1980, "Risk and Return in Commodity Futures", Financial Analysts Journal, May/June, pp. 27-39.

De Roon, F., T. Nijman and C. Veld, 2000, "Hedging Pressure Effects in Futures Markets", Journal of Finance, Vol. 55, No. 3, pp. 1437-1456.

Erb, C. and C. Harvey, 2006, "The Strategic and Tactical Value of Commodity Futures", Financial Analysts Journal, Vol. 62, No. 2, pp. 69-97.

Feldman, B. and H. Till, 2006, "Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance;

Froot, K., 1995, "Hedging Portfolios with Real Assets", Journal of Portfolio Management, Summer, pp. 60-77.

Girma, P. and A. Paulson, 1998, "Seasonality in Petroleum Futures Spreads", Journal of Futures Markets, August, pp. 581-598.

Gorton, G., and K.G. Rouwenhorst, 2006, "Facts and Fantasies about Commodities Futures", Financial Analysts Journal, Vol. 62, No. 2, pp. 47-68.

Greer, R., 1978, "Conservative Commodities: A Key Inflation Hedge", Journal of Portfolio Management, Summer, pp. 26-29.

Greer, R., 2000, "The Nature of Commodity Index Returns", Journal of Alternative Investments, Summer, pp. 45-52.

Heaney, R., 2006, "An Empirical Analysis of Commodity Pricing", Journal of Futures Markets, Vol. 26, No. 4, pp. 391-415.

Hirshleifer, D., 1988, "Residual Risk, Trading Costs, and Commodity Futures Risk Premia", Review of Financial Studies, Vol. 1, No. 2, pp. 173-193.

Idzorek, T., 2006, "Strategic Asset Allocation and Commodities", Ibbotson Associates, March 27.

Kaldor, N., 1939, "Speculation and Economic Stability", Review of Economic Studies, Vol. 7, No. 1, pp. 1-27.

Lewis, M., 2005, "Convenience Yields, Term Structures & Volatility Across Commodity Markets", An Investor Guide to Commodities, Deutsche Bank, April, pp. 18-23.

Litzenberger, R. and N. Rabinowitz, 1995, "Backwardation in Oil Futures Markets: Theory and Empirical Evidence", Journal of Finance, Vol. 50, No. 5, pp. 1517-1545.

Lummer, S. and L.B. Siegel, 1993. "GSCI Collateralized Futures: A Hedging And Diversification Tool For Institutional Portfolios." The Journal of Investing. Summer 1993.

Milonas, N. and T. Henker, 2001, "Price Spread and Convenience Yield Behavior in the International Oil Markets", Applied Financial Economics, Vol. 11, pp. 23-26.

Sorensen C., 2002, "Modeling Seasonality In Agricultural Commodity Futures", Journal of Futures Markets, Vol. 22, No. 5, pp. 393-426.

Till, H. and J. Eagleeye, 2005, "Commodities - Active Strategies for Enhanced Return", Journal of Wealth Management, 2005, Fall, pp. 42-61.

Till, H. and J. Eagleeye, eds, 2007, Intelligent Commodity Investing, (London: Risk Books), http://www.riskbooks.com/intelligentcommodity.

Till, H., 2007, "A Long-Term Perspective on Commodity Futures Returns," In Hilary Till and Joseph Eagleeye, eds., Intelligent Commodity Investing, pp. 39-82, (London: Risk Books).

Till, H., 2006, "Structural Sources of Return & Risk in Commodity Futures Investments", Commodities Now, Vol. 10, No. 2, pp. 57-65.

Zulauf, C. R., H. Zhou, and M. Robert, 2006, "Updating the Estimation of the Supply of Storage", Journal of Futures Markets, Vol. 26, No. 7, pp. 657-676.

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