Research and publications
Risk Management and Portfolio Construction in a Commodity Futures Programme
This article focuses on risk management within the context of a total-return futures program centered on commodities. The following issues are 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. The article provides examples from three historical portfolios in order to make this discussion concrete and practical.
Author(s):
Joseph Eagleeye, Hilary Till
Summary:
This article focuses on risk management within the context of a total-return futures program centered on commodities. The following issues are 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. The article provides examples from three historical portfolios in order to make this discussion concrete and practical.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 09/03/2007 |
| Keywords : |
Alternative Investments |
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