1 Trade-offs in Investing in the Commodities Boom Ms. Hilary Till Principal, Premia Risk Consultancy, Inc., http://www.premiacap.com ; Fellow, Arditti Center for Risk Management, DePaul University http://finance.depaul.edu/arditti ; Research Associate, EDHEC-Risk Institute, http://www.edhec-risk.com ; and Co-Editor, Intelligent Commodity Investing, http://www.riskbooks.com/intelligent-commodity-investing A Presentation to the CFA Society of Saskatchewan July 21, 2011
• This presentation is provided for educational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities or other financial instruments.
1929 stock certificate for crude-oil-development company in Alberta, Canada.
3
Disclaimers
• The opinions expressed during this presentation are the personal opinions of Hilary Till and do not necessarily reflect those of other organizations with which Ms. Till is affiliated.
• Any (inadvertent) errors and omissions are the responsibility of Ms. Till alone.
Board of Directors and Officers of the Saskatchewan Co-operative Wheat Producers, Limited. (Circa 1924)
4
Trade-offs in Investing in the Commodities Boom
I. Introduction: Commodity Futures Debate
II. Lessons from Past Regulatory History
III. Updates on Commodity Investment Alternatives
IV. Trade-Offs with Commodity Investment Alternatives
Icon above is based on the statue in the Chicago Board of Trade plaza.
5
I. Commodity Futures Debate
A. The Oil Price Spike of 2008
B. Oil Futures Contracts: Price Changes Lead Position Changes
C. Fundamental Factors
6
I. Commodity Futures Debate
The Oil Price Spike of 2008: Prices and Positions
Source: CFTC (2008).
Oil Prices and Futures Positions Weekly Data, June 2006 through October 2009,
Positions are for Managed Money and Swap Dealers, Futures Plus Options
Dealers & Index TradersWith Commission Recommendations
Total OTC and On-Exchange Commodity Index Investment Activity
Graph Based on Ribeiro et al. (2009), Chart 1.
7
I. Commodity Futures Debate
Oil Futures Contracts: Price Changes Lead Position Changes
Source: ITF (2009).
Direction Significant? P Value Direction Significant? P Value
+ Yes .000 - No .418
Manufacturers + Yes .000 - No .225
Commercial Dealers + Yes .000 - No .130
Producers + Yes .036 - No .160Other Commercial
Traders - No .623 - No .918
Swap Dealer - Yes .001 - No .582
- Yes .000 - No .451
Hedge Funds - Yes .000 - No .510Floor Brokers &
Traders - No .683 - No .351
Non-Registered Participants - No .873 - No .575
- Yes .000 - No .251
All Commercials (includes Manufacturers, Commercial Dealers, Producers, Other Commercial Traders, and
Swap Dealers)
All Non-Commercials combined with Swap
Dealers
All Non-Commercials (includes Hedge Funds, Floor Brokers & Traders)
Price Changes lead Position Changes
Hypothesized Direction of CausalityPosition Changes lead Price
ChangesTrader Classification
Source: Buyuksahin, B. and J. Harris, 2008, “Do Speculators Move Crude Oil Prices?”, CFTC-Office of the Chief Economist, Working Paper, Fall. The study uses daily data from January 2003 to October 2008.
• If speculators were indeed driving price changes, one would have expected their position changes, instead, to have ledprice changes.
8
I. Commodity Futures Debate
Fundamental Factors
• When “analyzing two very distinct commodities – crude oil and fine wine …”
• … two International Monetary Fund researchers find that there are common macroeconomic factors, which “are the main determinants of commodity prices.”
• “Although supply constraints have the expected effect, aggregate demand growth is the key factor.” [Italics added.]
Source: Cevik and Sedik (2011).
9
I. Commodity Futures Debate
Fundamental Factors
• In both cases, “… advanced economies account for more than half of global consumption [while] emerging economies make up the bulk of the incremental change in demand, thereby having a greater weight in commodity price formation,” which in turn “is a recent phenomenon.”
• That said, “global excess liquidity … is likely to have magnified the price pressures stemming from supply/demand imbalances.”
• See next slide.
Source: Cevik and Sedik (2011).
10
I. Commodity Futures Debate
Fundamental FactorsCrude Oil and Fine Wine Prices
Nominal Prices (Jan 1998 to Jun 2010)(Index, December 2003=100)
0
50
100
150
200
250
300
350
400
450
500
Jan-98 Jan-02 Jan-06 Jan-10
Monthly Data
Oil prices Wine prices
Data: Spot price of crude is measured by the monthly average price of Brent and West Texas Intermediate.Monthly Fine Wine prices are measured by the Liv-ex Fine Wine Investable Index.
Graph Based on Cevik and Sedik (2011), Figure 1.
11
II. Lessons from Past Regulatory History
A. Summary of the Historical Lessons
B. Transparency
12
II. Lessons from Past Regulatory History
Summary of the Historical Lessons
The historical lessons from past challenges to futures trading are as follows:
1. Constantly revisit the economic usefulness of commodity futures trading;
2. Insist upon transparency in market-participation and position data (in a sufficiently disaggregated fashion as to be useful, but also in a sufficiently aggregated fashion as to not violate individual privacy.)
3. Carry out empirical studies to confirm or challenge the benefits and/or burdens of futures trading.
13
II. Lessons from Past Regulatory History
Transparency (Derivatives)
• “The CFTC and Congress are taking steps to increase transparency ...”
• The CFTC now releases weekly information on disaggregated trade data of the positions held by Producers and Users, Swap Dealers, Managed Money and Others.
• Financial reforms were enacted that expand the CFTC’s authority to oversee the U.S. Over-the-Counter (OTC) derivatives markets.
• The CFTC “will focus on collecting data to inform how it completes regulation of the” OTC derivatives markets.
Sources: O’Malia (2010) and Leising (2011).
14
II. Lessons from Past Regulatory History
Transparency (Physical Markets)
Source: Okada and Sato (2010).
Joint Statement from the International Energy Agency (IEA) and the Institute of Energy Economics Japan (IEEJ), following the IEA/IEEJ
Forum on Global Oil Market Challenges in Tokyo on February 26, 2010
“Improved data on demand, supply and stocks are key to a better grasp on market fundamentals, notably in the emerging markets
that are now playing an increasing role, such as [in] Asia.”
This is key.
Note Cevik and Sedik (2011): “… emerging market economies … [accounted for] more than 100 percent of the change in global crude demand since 2000 as oil consumption in the OECD countries declined during that period.”
15
III. Updates on Commodity Investment Alternatives
A. Structural Features of Commodity Futures Contracts
B. Commodity Hedge Funds
C. Exchange-Traded Products
D. Commodity Currencies
16
III. Updates on Commodity Investment Alternatives
Structural Features of Commodity Futures Contracts:Term Structure
Data Source: The Bloomberg. Futures Curves as of March 4, 2011.[Bloomberg Tickers for Return Calculation: WTI: SPGCCLP and Brent: SPGCBRP.]
* “From time to time, [including recently,] the [WTI] contract disconnects from the global oil market due to logistical troubles at its landlocked point of delivery in Cushing, Oklahoma.”
Source: Blas (2011).
17
III. Updates on Commodity Investment Alternatives
Spot Price Shifts
• If one is not in a time of price (and currency) stability, rare spot price shifts do matter.
Rolling Corn Front-Month Futures Prices Daily Data
1/3/49 to 3/9/11
100
200
300
400
500
600
700
800
1949
0103
1950
0922
1952
0703
1954
0723
1956
0808
1958
0826
1960
0914
1962
1003
1964
1023
1966
1114
1968
1206
1971
0104
1973
0123
1975
0218
1977
0309
1979
0329
1981
0423
1983
0512
1985
0530
1987
0617
1989
0705
1991
0723
1993
0811
1995
0830
1997
0917
1999
1007
2001
1030
2003
1203
2006
0105
2008
0128
2010
0217
Date
Pric
e (in
cen
ts p
er b
ushe
l)
Updated Graph from Till (2007), Figure 2.
18
III. Updates on Commodity Investment Alternatives
Spot Price Shifts
• Professor Scott Irwin of the University of Illinois recently noted:
Source: White (2011).
• “Irwin said [the current] bull market rally, following so soon after the 2007-08 rally, seems similar to the early-mid 1970s series of rallies.”
– There is an “incredible tightness of corn”inventories.
– “We are in the part of the price curve that, in economist-speak, is highly non-linear.”
Graph Based on Roggensack (2011).
19
III. Updates on Commodity Investment Alternatives
Spot Price Shifts
• “But a crucial element … will be different: the rally’s longevity.”
• “… ‘the true spike or boom phase will probably last longer in this episode because of the biofuels mandates and high fuel prices working together.’”
• Because of governmental “policies mandating ethanol use,” price cannot function to ration demand, a constraint that did not exist in the 1970s.
Source: White (2011).
20
III. Updates on Commodity Investment Alternatives
Spot Price Shifts
• Like the 1970s, which was also a time of currency instability, there has been a natural emergence of viewing rich/cheapness in terms of gold rather than in a currency.
Gold and oil average yearly prices(Data from 1901 to 2011)
-
200
400
600
800
1,000
1,200
1,400
1,600
- 20 40 60 80 100 120
WTI oil prices ($/bbl)
$/oz
2010
2009
Current prices
Oil Leading Gold
Graph Based on Soares et al. (2011), Chart 1.
21
III. Updates on Commodity Investment Alternatives
Momentum
• Besides term structure and rare spot shifts, other structural sources of return in commodity futures markets appear to include momentum.
• The next slide illustrates the pay-off to a strategy of going long the S&P GSCI for one month if the previous one-year excess return has been positive; or going short the S&P GSCI if the previous one-year excess return has been negative.
Source: Erb and Harvey (2006).
22
III. Updates on Commodity Investment Alternatives
Momentum
• The momentum effect has been strongest in the first 13 years of the sample, but the effect is still evident in the most recent period.
• Fuertes, Miffre, and Rallis (2010) describe further enhancements.
• In their strategy, they double-sort on both momentum and term-structure signals to decide upon which commodities to invest in, given that both signals individually have been profitable historically.
24
III. Updates on Commodity Investment Alternatives
Rebalancing
• Erb and Harvey (2006) examine the returns of sixteen commodity futures contracts over the period, 1982 to 2004.
• The average correlation of individual commodities with one another was quite low: only about 9%.
• The average standard deviation of the commodities that they studied was 25%.
• Erb and Harvey show mathematically that “when asset variances are high and correlations are low, the diversification return can be high.”
25
III. Updates on Commodity Investment Alternatives
Commodity Hedge Funds (HFs)
Source: Jeanneret, Monnin, and Scholz (2011).
Capture of S&P/GSCI Downside and Upside
0.27%2.19%
-5.74%
5.69%
-8%-6%
-4%-2%0%
2%4%
6%8%
Average Negative Month Average Positive Month
Ave
rage
Mon
thly
Ret
urns
HF Commodity Index S&P GSCI
Graph Based on Jeanneret et al. (2011), Exhibit 4: “Downside-Upside Capture of Traditional Indices.” “Time period of analysis is August 1998 to December 2009.”
Table Based on Jeanneret et al. (2011), Exhibit 1: “Performance of Commodity Hedge Funds Index and Commodity Long-Only Indices.”
HF Commodity Index S&P/GSCI DJ UBS Index Rogers ICI UBS CMCI
• Actively managed commodity hedge funds can potentially capture the Beta of the asset class, while substantially curtailing downside risk, especially when they are combined in a portfolio.
26
III. Updates on Commodity Investment Alternatives
Exchange-Traded Products
• “The outstanding value of funds invested in …[commodity exchange-traded products] more than tripled in value in the two years up to the end of 2010 to $155 billion. Precious metals accounted for more than three quarters of assets under management, commodity indices 13%, and energy products for most of the remainder.”
Source: The City UK (2011).
Assets Outstanding of Exchange-Traded Products, End-2010
13%
6%
77%
3%
Indices
EnergyAgriculture Industrial Metals, 1%
Precious Metals
Total: $155 Billion
Graph Based on The City UK (2011), Chart 7.
27
III. Updates on Commodity Investment Alternatives
Metals Exchange-Traded Funds
• It appears that retail investors may be intuitively re-creating the Bretton Woods accord. They are doing so by holding privately-created metals-backed financial instruments.
• The next section covers commodity currencies as another way to gain exposure to a commodity investment view.
28
III. Updates on Commodity Investment Alternatives
Commodity Currencies: Brazilian Real
Brazilian Real (Jan 2001 through Mar 2011)
1.50
2.00
2.50
3.00
3.50
4.00
4.50
1/1/
2001
7/1/
2001
1/1/
2002
7/1/
2002
1/1/
2003
7/1/
2003
1/1/
2004
7/1/
2004
1/1/
2005
7/1/
2005
1/1/
2006
7/1/
2006
1/1/
2007
7/1/
2007
1/1/
2008
7/1/
2008
1/1/
2009
7/1/
2009
1/1/
2010
7/1/
2010
1/1/
2011
Date
Rea
is p
er D
olla
r
Data Source: The Bloomberg. Daily data.
29
III. Updates on Commodity Investment Alternatives
Commodity Currencies: Canadian Dollar
Canadian Dollar (Jan 2001 through March 2011)
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
1.60
1.70
1/2/
2001
7/2/
2001
1/2/
2002
7/2/
2002
1/2/
2003
7/2/
2003
1/2/
2004
7/2/
2004
1/2/
2005
7/2/
2005
1/2/
2006
7/2/
2006
1/2/
2007
7/2/
2007
1/2/
2008
7/2/
2008
1/2/
2009
7/2/
2009
1/2/
2010
7/2/
2010
1/2/
2011
Date
C$
per U
SD
Data Source: The Bloomberg. Daily data.
30
IV. Trade-Offs with Commodity Investment Alternatives
A. Commodity Futures
B. Commodity Hedge Funds
C. Metals ETFs
D. Natural Resource Equities
E. Commodity Currencies
31
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Futures
• During normal states-of-the-world, one has the benefits of the natural internal diversification provided by different commodity positions.
• But during eventful times, this feature has been temporarily unavailable.
• See next slide.
Source: Exhibit 5 of Till (2000).
Portfolio Volatility vs. Number of Strategies
6%
7%
8%
9%
10%
11%
12%
13%
14%
1 2 3 4 5 6 7
Number of Strategies
Port
folio
Vol
atili
ty
Normal State-of-the-World
32
IV. Trade-Offs with Commodity Investment Alternatives
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Hedge Funds
Amaranth: A $6.5bn accident waiting to happen?
• Apparent absence of sufficient risk controls
• High leverage
• Poor transparency
• Performance heavily dominated by one strategy
Source: Hosking (2006).
Due Diligence
EDHEC-Risk Position Paper onAmaranth is available at http://www.edhec-risk.com.
34
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Hedge Funds
• Self-administration (i.e., no independent third party verifying returns)
• Individual traders who were not invested in their own books
• Hubris among the management team
• Poor liquidity terms
Due Diligence
Source: Hosking (2006).
35
IV. Trade-Offs with Commodity Investment Alternatives
Metals ETFs
• “Physical base metal ETFs differ from paper-based investment alternatives … because the underlying needs to be stored.” This can be quite expensive.
Source: Widmer et al. (2011).
Annual Rent as Percentage of Current Cash Price
0%
1%
2%
3%
4%
5%
6%
AL CU PB NI SN ZN
Graph Based on Widmer et al., Chart 4.
Warehouse Rents Can Be Quite High in Relation to Metals Prices
36
IV. Trade-Offs with Commodity Investment Alternatives
Natural Resource Equities
• As concerns over potential changes in OPEC-spare-capacity intensify, there is more attention to which investment vehicles would provide the best hedge for upside surprises in the price of oil.
Graph Based on Lewis et al. (2011).
OPEC Spare Capacity Scenarios
0.0
1.0
2.0
3.0
4.0
5.0
6.0
1994 1996 1998 2000 2002 2004 2006 2008 2010
Mill
ion
Bb/
Day
Libya crude oil production Algeria crude oil production
`
37
IV. Trade-Offs with Commodity Investment Alternatives
Equities vs. Oil
• Arguably, until recently, investing in the U.S. equity market, as an alternative to investing in oil, seemed to be a reasonable alternative since the Spring of 2009, since both assets appeared to benefit from the global reflationary environment.
• The downside to this investment approach is that at sufficiently high prices of crude oil, this correlation can break down, as challenges to the global economic recovery become priced in.
• See next slide.
38
IV. Trade-Offs with Commodity Investment Alternatives
Equities vs. Oil
Correlation (in Daily Returns) of WTI and S&P500Rolling 30-Day Windows
(2/16/05 to 3/9/11)
-80%-60%
-40%-20%
0%20%
40%60%
80%100%
2/16
/200
5
5/16
/200
5
8/16
/200
5
11/1
6/20
05
2/16
/200
6
5/16
/200
6
8/16
/200
6
11/1
6/20
06
2/16
/200
7
5/16
/200
7
8/16
/200
7
11/1
6/20
07
2/16
/200
8
5/16
/200
8
8/16
/200
8
11/1
6/20
08
2/16
/200
9
5/16
/200
9
8/16
/200
9
11/1
6/20
09
2/16
/201
0
5/16
/201
0
8/16
/201
0
11/1
6/20
10
2/16
/201
1
Date
Cor
rela
tion
Graph Based on Tchilingurian (2011), Chart 3.
39
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Currencies
• Both Debt-to-GDP trends and commodity prices matter.
Debt-to-GDP Ratios: Relative to the United States Quarterly Data
Canada AustraliaGraph Based on Cayen et al. (2010), Figure 5. GDP stands for Gross Domestic Product.
Source: Cayen et al. (2010).
40
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Currencies: Canada
Graph Based on Department of Finance Canada, Chart 13 (2010).
Projected Total Government Net Debt
73.2%
20.9%
31.0%
16.3%
7.6%
43.2%
45.6%
0% 20% 40% 60% 80% 100% 120% 140% 160%
Japan
Italy
U.S.
France
U.K.
Germany
Canada
per cent of GDP
2007 level
Projected increasefrom 2007 to 2015
41
IV. Trade-Offs with Commodity Investment Alternatives
Commodity Currencies
• The trade-off with commodity currencies is that the fluctuations in currency pairs are clearly not a “pure play” on commodities. Debt-to-GDP trends also matter.
• Separately, with emerging market currencies, one needs to be attentive to shifts in public policy regarding whether incoming investment flows are being discouraged or encouraged.
• For example, recently “Brazil’s central bank defended efforts to erect barriers to foreign money, arguing a deluge of capital was pressuring inflation and threatening the stability of financial markets.”
Source: Lange and Egan (2011).
42
Conclusion
• Successfully anticipating public policy may be a key driver in choosing the appropriate commodity investment strategy, going forward.
• And, as discussed in the Appendix, the geopolitical context will also matter.
• The first and second sections reviewed current and past challenges to commodity futures trading. One conclusion is that regulatory interventions are not uncommon.
• But an emphasis on the economic usefulness of futures trading, combined with transparency in the activities of market participants, has been crucial in maintaining these markets since the late nineteenth century.
43
Conclusion
• The third and fourth sections discussed the advantages and disadvantages of various commodity investment alternatives.
• In reviewing historically successful investors, one key attribute has been that they have been able to not only identify the future economic state-of-the-world, but they have also been able to anticipate the likely public policy response to that state-of-the-world, and have invested accordingly.
• Going forward, this may be an essential aspect of choosing an appropriate commodity-and-currency investment strategy.
44
AppendixThe Commodities Boom
During the Last Great Era of Globalization
A. Saskatchewan
B. Alberta
C. Cautionary Note from History
45
AppendixThe Commodities Boom During
The Last Great Era of GlobalizationSaskatchewan: Large-Scale Immigration and Optimism (Circa 1908-1918)
Source: Library and Archives Canada.
Source of image: Glenbow Archives NA-563-1Crowds in Calgary street during oil boom, Alberta, 1914.
AppendixThe Commodities Boom During
The Last Great Era of GlobalizationAlberta: Oil Boom (1914)
47
Source of image: Glenbow Archives NA-563-1Crowds in Calgary street during oil boom, Alberta, 1914.
AppendixThe Commodities Boom During
The Last Great Era of Globalization
48
AppendixThe Commodities Boom and Globalization
• The last great era of globalization was from 1880 to 1914.
• This period first harnessed the powers of global communications and swift transport to link the world economically, analogously to the innovations in our era.
• Other similarities to our present era include deregulated and integrated global capital markets, expanding international trade, strong foreign-direct investment flows and the search for new markets.
Source: Sesit (2005), quoting Niall Ferguson, history professor,Harvard University, and George Magnus, senior economic adviser at UBS.
1880 - 1914 NOW
Deregulated capital markets √ √ Low inflation √ √ Rising commodity prices √ √ New regional powers with global aspirations √ √
State-sponsored terrorism √ √
Shrinking bond spreads √ √
Growing great power rivalry √ √
Financially overstretched dominant power √ √ Expansion of democracy × √ Proliferation of war √ ×
Similarities between the first and present eras:
Cautionary Note: The Current Commodities Boom Relies on the Continuation of Our Era of Globalization
49
References
Buyuksahin, B. and J. Harris, 2008, “Do Speculators Move Crude Oil Prices?,” CFTC-Office of the Chief Economist, Working Paper, Fall, as cited in ITF (2009).
Cayen, J-P., D. Coletti, R. Lalonde, and P. Maier, 2010, “What Drives Exchange Rates? New Evidence from a Panel of US Dollar Bilateral Exchange Rates,” Bank of Canada Working Paper, May.
Cevik, S. and T. Sedik, 2011, “A Barrel of Oil or a Bottle of Wine: How do Global Growth Dynamics Affect Commodity Prices?”, International Monetary Fund Working Paper, January.
[CFTC] Commodity Futures Trading Commission, 2008, “Staff Report on Commodity Swap Dealers & Index Traders with Commission Recommendations,” September 11.
Department of Finance Canada, 2010, “Canada is Leading the Way,” Canada’s Global Economic Leadership: A Report to Canadians, June 18.
Erb, C. and C. Harvey, 2006, “The Tactical and Strategic Value of Commodity Futures,” January 6. Abridged version in Financial Analysts Journal, Vol. 62, No. 2, March/April 2006, pp. 69-97.
Degas, Edgar, “The Cotton Exchange at New Orleans,” 1873, Musée Municipal, Pau, France.
For an article on the historical parallels between 1873 and now,as seen when looking into the distant mirror of Degas’ painting, please see: Till, H., 2011, “Cotton Through a Distant Mirror,”Commodities Now, http://www.commodities-now.com, March, pp. 28-29.
50
References
Fuertes, A.-M., J. Miffre, and G. Rallis, 2010, “Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals,” Cass Business School (London, UK) and EDHEC Business School (Nice, France) Paper, April 22. Available at SSRN: http://ssrn.com/abstract=1127213.
Hosking, P., 2006, “Amaranth Collapse Was ‘Easily’ Foreseeable,” The Times (London), October 13.
[ITF] Interagency Task Force on Commodity Markets, 2009, “Special Report on Commodity Markets,” Draft, January 5th. This report was never formally released, but was accessed by the Wall Street Journal through a Freedom of Information Act request. The task force was chaired by Commodity Futures Trading Commission (CFTC) staff.
Jeanneret, P., P. Monnin, and S. Scholz, 2011, “Protection Potential of Commodity Hedge Funds,” Journal of Alternative Investments, Winter, pp. 43-52.
Lange, J. and L. Egan, 2011, “Brazil Sees Capital Flows as Threat to Stability,” Reuters, March 27.
Leising, M., 2011, “CFTC to Focus on Swaps Data to Shape Regulations, O’Malia Says,” Bloomberg News, March 15.
Lewis, M., D. Brebner, M. Hsueh, X. Fu, A. Sieminski, S. Choi, M-C., Lewis, and I. Curien, 2011, “Commodities Weekly,”Deutsche Bank Global Markets Research, February 25.
Okada, Y. and S. Sato, 2010, “IEA Says Oil Markets Need Better Data, Global Regulation Effort,” Bloomberg News, February 26.
O’Malia, S., 2010, “Oil Market Transparency: A Preventative Measure for Extreme Volatility,” Remarks by CFTC Commissioner Scott D. O’Malia before IEA/IEEJ Forum on Global Oil Market Challenges, Tokyo, Japan, February 26.
Ribeiro, R., L. Eagles, and N. von Solodkoff, 2009, “Commodity Prices and Futures Positions,” J.P. Morgan Global Asset Allocation & Alternative Investments, December 16.
Roggensack, T., 2011, “Corn: US Stocks Below Minimum Pipeline Levels?,” The Hightower Report, February 14.
51
References
Sesit, M., 2005, “Geopolitical Risk: History’s Constant,” Wall Street Journal, August 4. Article quotes from Professor Niall Ferguson, Harvard University; and George Magnus, senior economic adviser at UBS.
Soares, G., F. Blanch, M. Widmer, S. Schels, and A. Tonks, 2011, “Oil Leading Gold,” Merrill Lynch Global Metals Weekly, March 3.
The City UK, 2011, “Commodities Trading,” Financial Markets Series, March.
Tchilingurian, H., 2011, “Oil and Equities: Correlation Breakdown,” BNP Paribas Oil Market Comment, Commodity Markets Strategy Group Research, March 7.
Till, H., 2000, “Passive Strategies in the Commodity Futures Markets,” Derivatives Quarterly, Fall, pp. 49-54.
Till, H., 2007, “A Long-Term Perspective on Commodity Futures Returns: Term Structure as the Primary Driver of Returns,” a chapter in Intelligent Commodity Investing (Edited by H. Till and J. Eagleeye), London: Risk Books, pp. 83-93.
Till, H. 2008, “Case Studies and Risk Management Lessons in Commodity Derivatives Trading,” a chapter in Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy (Edited by H. Geman), Chichester (UK): John Wiley & Sons Ltd., pp. 255-291.
White, E., 2011, “Dwindling Corn Stocks Put Market on Edge,” Western Producer (a publication serving Western Canadian farm families), February 17.
Widmer, M., G. Soares, J. Andersson, F. Blanch, and A. Tonks, 2011, “Economics of Physical Metal ETFs,” Merrill Lynch Global Metals Weekly, January 14.
