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“Intelligent Commodity Investing” • Risk Books, 2007. (Editors: Hilary Till and Joseph Eagleeye)
“Amaranth Lessons Thus Far” • forthcoming Journal of Alternative Investments.
Excerpts
from “Intelligent
Commodity Investing ” • Alternative
Investment Quarterly,
Third Quarter 2007.
“Risk
Management & Portfolio Construction in a Commodity Futures Programme” • Commodities Now, September 2007.
“Evolving Markets” • Commodity
Risk, September 2007.
“The Amaranth Collapse: What Happened and What Have We Learned Thus Far?” • EDHEC-Risk Publication, August 2007.
“Trading
Strategies” • Commodity Risk, May 2007.
Japanese summary of “The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns” • AIMA Japan Newsletter, March 2007.
“Academic Paper” • Hedge Funds Review, January 2007.
“Backwardation and Commodity Futures Performance: Evidence from Evolving Agricultural Markets” • Journal of Alternative Investments, Winter 2006.
This article was summarized in CFA Digest, August 2007.
“The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns” • AIMA (Alternative Investment Management Association) Journal, Winter 2006.
“EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle” • EDHEC-Risk Publication, October 2006.
“What the Future Holds for Commodities” • Global Alternatives Magazine, June 2006.
“Structural Sources of Return & Risk in Commodity Futures Investments” • Commodities Now, June 2006.
Japanese summary of “The Benefits and Costs of Illiquidity” • AIMA Japan Newsletter, April 2006.
“Separating
the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity
Futures Performance; Evidence from Soy, Corn and Wheat Futures from 1950 to
2004” • EDHEC
Risk and Asset Management Research Centre Publication & Premia Capital
and Prism Analytics White Paper, 2006.
“Survey of Recent Hedge Fund Articles” • Working Paper version, which was
published in Journal of Wealth Management, Winter 2005.
“Commodities — Active
Strategies for Enhanced Return” • Working Paper version,
which was published in the Journal of Wealth Management, Fall 2005.
This article was summarized in CFA Digest,
February 2006.
“Challenges in Commodities Risk Management” • Commodities
Now, September 2005.
“The
Capacity Implications of the Search for
Alpha” • AIMA (Alternative
Investment Management Association) Journal,
June 2004.
“Risk
Measurement of Investments in the Satellite
Ring of a Core-Satellite Portfolio: Traditional
Versus Alternative Approaches”
• The Singapore Economic Review,
April 2004.
“On
The Role of Hedge Funds in Institutional
Portfolios” • Working
Paper version, which was published in Journal
of Alternative Investments, Spring 2004.
“Weighing
the Cost of Illiquidity” • Risk Magazine, November 2003.
“On
The Role of Hedge Funds in Institutional
Portfolios” • Original version, September 2003.
“Traditional
Investment Versus Absolute Return Programmes” • Quantitative Finance, June 2003.
“Timing
is Everything, Especially with a Commodity Index” • Working
Paper version, which was published in Futures
Magazine, August 2003.
“Implicit
Options In Hedge Fund Products” • Derivatives Week, February 16,
2003.
“Risk
Considerations Unique to Hedge Funds” • Quantitative Finance, December 2002.
“Comparing
Tastes: How to Include Hedge Funds in a Risk Allocation Framework — Part
II” • GARP Risk Review, the Journal
of the Global Association of Risk Professionals, November / December
2002.
“Managers
Take Your Seats: How to Include Hedge Funds in a Risk Allocation Framework — Part
I” • GARP Risk Review, the Journal
of the Global Association of Risk Professionals, September / October
2002.
“Risk
Management Lessons in Leveraged Commodity Futures Trading” • Commodities
Now, September 2002.
“Measuring
Risk-Adjusted Returns in Alternative Investments” • Quantitative
Finance,
August 2002.
“Returns-Based
Analyses of Hedge Funds” •
Derivatives Week, July 28, 2002.
“Measure
for Measure” • Risk & Reward,
October 2001.
“Life
at Sharpe’s End” • Risk & Reward,
September 2001.
“Alternative
Investment Trading Strategies”
• Alternative Investment News,
August 12, 2001.
“Taking Full Advantage of the Statistical Properties of Commodity Investments” • Working Paper version, which was published in Journal of Alternative Investments, Summer 2001.
“Laughing
in the Face of Diversity” • Risk & Reward,
February 2001.
“Trading
Scarcity” • Working Paper version, which was published
in Futures Magazine, October 2000.
“Passive
Strategies in the Commodity Futures Markets” • Working
Paper version, which was published in Derivatives Quarterly, Fall 2000.
“Two
Types of Systematic Returns Available in the Commodity Futures Markets” • Commodities
Now, September 2000.
“Institutional Investing in Commodity Derivatives” • Derivatives Week, August 2000.
“Active Commodity-Based Investing” • Working Paper version, which was published in Journal of Alternative Investments, Summer 2000.
“Plan Sponsors Eye Commodity Returns” • Derivatives Strategy Magazine, November 1996.
“Risk Management in Energy-Focused Commodity Futures Investing” • a chapter in The Professional Risk Managers' Guide to Energy and Environmental Markets (Edited by Peter Fusaro), PRMIA Publications, 2006. Re-issued in The Professional Risk Managers’ Guide to the Energy Market, McGraw-Hill Finance & Investing, 2008. (Author: Hilary Till)
“Natural
Resources Funds of Funds: Active Management, Risk Management, and Due Diligence” • Working Paper version, which was published as a chapter in Fund
of Hedge Funds: Performance, Assessment, Diversification, and Statistical
Properties (Edited by Greg Gregoriou),
Elsevier Finance book, 2006. (Authors: Rian Akey, Hilary Till, and Aleks
Kins)
“Portfolio
Risk Measurement in Commodity Futures Investments” • Working
Paper version, which was published as a chapter in Portfolio Analysis:
Advanced Topics in Performance Measurement, Risk and Attribution (Edited
by Tim Ryan), Risk Books, 2006. (Author: Hilary Till)
“Absolute
Returns in Commodity (Natural Resource) Futures Investments” •
Working Paper version, which was published as a chapter in Hedge
Fund & Investment
Management (Edited by Izzy Nelken), Elsevier
Finance book, 2006. (Authors:
Hilary Till and Jodie Gunzberg)
“Commodities — Active Strategies for Enhanced Return” • a chapter in
The Handbook of Inflation Hedging Investments (Edited by Robert Greer), McGraw Hill book, 2006. (Authors: Hilary Till and Joseph Eagleeye)
“A
Hedge Fund Investor’s Guide to Understanding Managed Futures”
• a chapter in Hedge Funds: Insights in Performance Measurement,
Risk Analysis, and Portfolio Allocation (Edited by Greg Gregoriou, Georges
Hubner, Nicolas Papageorgiou and Fabrice Rouah), Wiley Finance book, 2005.
(Authors: Hilary Till and Joseph Eagleeye)
“Risk
Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio”
• a chapter in Core-Satellite Portfolio Management: A Modern Approach
to Professionally Managed Funds (Edited by J. Clay Singleton), McGraw Hill book, 2005. (Author: Hilary Till)
“How
to Design a Commodity Futures Trading Program” • a chapter in
Commodity Trading Advisors: Risk, Performance Analysis, and Selection
(Edited by Greg Gregoriou, Vassilios Karavas, Francois-Serge Lhabitant,
and Fabrice Rouah), Wiley Finance book, 2004. (Authors: Hilary Till and Joseph
Eagleeye)
“The
Benefits and Costs of Illiquidity” • a chapter in Intelligent
Hedge Fund Investing (Edited by Barry Schachter), Risk Books, 2004. (Author:
Hilary Till)
“The
Risks of Commodity Investing” • Working Paper version, which
published as a chapter in The New Generation of Risk Management for Hedge
Fund and Private Equity Investments (Edited by Lars Jaeger), Euromoney book, 2003. (Authors: Hilary Till and Joseph Eagleeye)
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In reading “Two Types of Systematic Returns Available
in the Commodity Futures Markets,” please be aware of the following:
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH
ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL
OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT,
THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS
AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING RESULTS
PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE IS THAT THEY ARE
GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL
TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD
CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING.
FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING
PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO
THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM
WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE
RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS
NOT ADJUSTED FOR COMMISSION AND SLIPPAGE.
In reading “Risk Management Lessons in Leveraged Commodity Futures Trading,” please be aware of the following:
The portfolio risk management process includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk.
In reading “Challenges in Commodities Risk Management,” please be aware of the following:
The portfolio risk management process includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk.
In reading “Risk Management & Portfolio Construction in a Commodity Futures Programme,” please be aware of the following:
The portfolio risk management process includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk.
