Intelligent Commodity Indexing A Practical Guide to Investing in Commodities

Robert Greer , Nic Johnson , Mihir P. Worah 지음

McGraw-Hill 2012년 11월 09일 출간

작품소개

책소개

THE SECRETS TO CAPITALIZING ON THE COMMODITIES BOOM

In the mid-1970s, when Bob Greer scrolled through miles of microfilm in the basement of a public library in order to record commodity prices in his yellow legal pad, the idea of commodities being an investable asset class was way outside the mainstream. Now, it's a multibilliondollar vehicle for achieving portfolio diversification and inflation hedging--and he and his colleagues have written the book on earning better returns than the indexes themselves!

In Intelligent Commodity Indexing, Bob joins his fellow leaders of PIMCO's Commodity Practice, Nic Johnson and Mihir Worah, in opening up commodity indexes. Never before has there been a more thorough explanation of how a commodity index works coupled with a powerful set of strategies for making it work for you. Inside, you'll find the most up-to-date tools and time-proven best practices for earning "structural alpha" by capitalizing on recurring risk and liquidity premiums in the commodities markets. It offers the right amount of history and theory to reinforce cuttingedge techniques for:

Interpreting how seasonal effects change risk premia

Choosing the most profitable market for specific commodity exposure

Using intelligent commodity indexing to collect risk premiums in the options market

Maximizing roll yield in order to increase long-term returns

Managing risk, including specific frameworks and systems



Investors gain a superior advantage with this book's coverage of the nuts-and-bolts workings of various markets.

Praise for Intelligent Commodity Indexing

"A seminal work on an asset class that has grown in importance within institutional portfolios. The authors offer considerable insight to this complex asset class and provide investors with a thorough examination of the drivers of risk and return." -- Julia K. Bonafede, CFA, Pre

목차

Foreword by Bill Gross; Introduction; Chapter 1. The History of Commodity Indexes; Chapter 2. Drivers of Returns; Chapter 3. An Overview of Intelligent Indexation; Chapter 4. Roll Yield Maximization; Chapter 5. Seasonal Strategies; Chapter 6. Harvesting Liquidity Premiums; Chapter 7. Substitution Strategies; Chapter 8. Volatility Strategies; Chapter 9. Implementation; Chapter 10. Risk Management; Chapter 11. The Role and Impact of Index Investors

작가정보

저자(글) Robert Greer

저자(글) Nic Johnson

저자(글) Mihir P. Worah