Download or read book How Contango and Backwardation Affects the Performance of Commodity Hedge Funds Evaluation Based on Commodity Trading Advisors CTA written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we examine how contango and backwardation affects the performance of commodity hedge funds. Evaluation based on commodity trading advisors', CTA. CTA, commodity trading advisers, or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. The portfolio is leveraged and the risk is quite high. Forward and futures contracts have similarities in terms that they involve two parties to exchange a commodity, a currency or a bond at a specified price in the future. The costs of carry that characterize these contracts are insurance, storage and interest costs. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying asset that offset the opportunity cost of the risk-free rate and additional net holding costs. In contrast, contango is a case where the futures price is above the spot price. In a speculation situation, the futures prices do not equal spot prices and speculators are taking advantage from the mispricing. Speculators are short or long according to if the futures market is in backwardation or in a contango situation. In case, that the investor is not getting dividends, semi-annual coupons or monthly yields and the futures price are less than the spot prices, then, we are discussing about a backwardation effect.
Download or read book Testing Backwardation and Contango Effects on a 3 Month Eurodollar Futures Contract written by Michel Guirguis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we test the backwardation and contango effects on a 3 - month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying asset that offset the opportunity cost of the risk-free rate and additional net holding costs. In contrast, contango is a case where the futures price is above the spot price. In a speculation situation, the futures prices do not equal spot prices and speculators are taking advantage from the mispricing. Speculators are short or long according to if the futures market is in backwardation or in a contango situation. In case, that the investor is not getting dividends, semi-annual coupons or monthly yields and the futures price are greater then the spot prices, then, we are discussing about a contango effect.
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Download or read book Understanding Flipping Behaviour of Crude Oil Prices Between Contango and Backwardation written by Abubakar Hassan and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodities For Dummies written by Amine Bouchentouf and published by John Wiley & Sons. This book was released on 2011-03-01 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since 2002, commodities have outperformed every other asset class including stocks, mutual funds and real estate. If you’re itching to get in on the fun and profit, Commodities For Dummies is the resource you need to find out how to break into the commodities market and understand how to trade and prosper. You’ll discover: How commodities stack up against other investment vehicles How to identify, manage, and overcome risk The pros and cons of futures, equities, ETFs and mutual funds Specific techniques for analyzing and trading in commodities Powerful profits in energy—crude oil, natural gas, coal, nuclear, and alternatives What you need to know about trading in metals—precious and not-so-precious How to grow your portfolio with farm products Featuring time-tested rules for investment success, this comprehensive, user-friendly guide helps you minimize risk, maximize profit, and find the shortest route to Easy Street.
Download or read book Derivatives written by Source Wikipedia and published by University-Press.org. This book was released on 2013-09 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Pages: 161. Chapters: Derivative, Normal backwardation, Contango, Credit default swap, Contract for difference, Futures contract, Collateralized debt obligation, Exchange-traded derivative contract, Interest rate swap, Forward contract, Credit derivative, Hedge, Synthetic CDO, Repurchase agreement, Futures exchange, Gold exchange-traded fund, International Swaps and Derivatives Association, Binary option, Weather derivatives, Foreign exchange hedge, Variance swap, Box spread, Iron condor, Property derivatives, VIX, Implied volatility, Heston model, Stochastic volatility, CME SPAN, Foreign exchange option, Power reverse dual currency note, Thinkorswim, Risk-neutral measure, Backspread, Interest rate cap and floor, Derivatives market, Non-deliverable forward, Renewable Energy Derivative, Constant proportion portfolio insurance, Volatility arbitrage, Interest rate derivative, SABR Volatility Model, Options strategies, Notional amount, Constant Proportion Debt Obligation, IVX, Local volatility, Equity swap, Pin risk, Moneyness, Total return swap, Delta neutral, Equity derivative, Credit spread, Exercise, Asian option, Real estate derivatives, Fixed bill, U.S. Futures Exchange, Options spread, Forward price, Inflation derivative, Bull spread, Single-stock futures, Currency future, Married put, Stock market index future, Forex swap, Mark to model, Dual currency deposit, ITraxx, Low Exercise Price Option, Commodity tick, Butterfly, Over-the-counter, Bear spread, Credit default swap index, CME Group, Strike price, Quanto, Net volatility, Open interest, Intrinsic value, First Prudential Markets, Freight derivative, Options arbitrage, Financial future, Variance risk premium, Accumulator, Commodity price index, Position, International Capital Markets, Option screener, Calendar spread, E-mini S&P, Conditional variance swap, Mexican Derivatives...
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Download or read book Financial Mathematics Derivatives and Structured Products written by Raymond H. Chan and published by Springer. This book was released on 2019-02-27 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
Download or read book Advanced Positioning Flow and Sentiment Analysis in Commodity Markets written by Mark J. S. Keenan and published by John Wiley & Sons. This book was released on 2020-02-18 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive book on Positioning Analysis — a powerful and sophisticated framework to help traders, investors and risk managers better understand commodity markets Positioning Analysis is a powerful framework to better understand commodity price dynamics, risk, and sentiment. It indicates what each category of trader is doing—what they are trading, how much they are trading and how they might behave under a variety of different circumstances. It is essential in isolating specific types of flow patterns, defining behavioral responses, measuring shifts in sentiment, and developing tools for better risk management. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets explains the fundamentals of Positioning Analysis and presents new concepts in Commodity Positioning Analytics. This invaluable guide helps readers recognize how certain types of positioning patterns can be used to develop models, indicators, and analyses that can be used to enhance performance. This updated second edition contains substantial new material, including analytics based on the analysis of flow, the decomposition of trading flows, trading activity in the Chinese commodity markets, and the inclusion of Newsflow into Positioning Analysis. Author: Mark J S Keenan, also covers the structure of positioning data, performance attribution of speculators, sentiment analysis and the identification of price risks and behavioral patterns that can be used to generate trading signals.. This must-have resource: Offers intuitive and accessible guidance to commodity market participants and risk managers at various levels and diverse areas of the market Provides a wide range of analytics that can be used directly or integrated into a variety of different commodity-related trading, investment, and risk management programs Features an online platform comprising a wide range of customizable, regularly-updated analytical tools Contains an abundance of exceptional graphics, charts, and illustrations Includes easy-to-follow instructions for building analytics. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition is an indispensable source of information for all types of commodity traders, investors, and speculators, as well as investors in other asset classes who look to the commodity markets for price information.
Download or read book Commodity Markets and the Global Economy written by Blake C. Clayton and published by Cambridge University Press. This book was released on 2016 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a clear-eyed analysis of questions at the intersection of commodity markets, natural resource economics, and public policy.
Download or read book Derivatives Handbook written by Robert J. Schwartz and published by John Wiley & Sons. This book was released on 1997-05-23 with total page 766 pages. Available in PDF, EPUB and Kindle. Book excerpt: Der schlechte Ruf der Derivative gründet sich auf Mißbrauch und das hohe Risiko, das mit diesem oft exotisch wirkenden Finanzinstrument verbunden ist. Sie wollen sich unvoreingenommen, besser informieren? Anhand signifikanter Fallstudien führt dieses Buch Sie unter anderem in Techniken des Risikomanagement und Kontrollstrukturen ein.
Download or read book Normal Backwardation and Hedging Asymmetry written by Lalgudi S. Venkataramanan and published by . This book was released on 1978 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mastering the Commodities Markets written by Francesca Taylor and published by Pearson UK. This book was released on 2013-03-07 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to commodity markets covering specific commodities such as gold, oil, rare earths, aqua and agriculture. This is a comprehensive introduction to commodities markets, written so that you can quickly scan the book before a meeting and run through the specific chapter that interests you. Designed for the non-specialist, this book covers the topics from a practical perspective, and includes statistical data, screen shots, diagrams and worked examples.
Download or read book Is Normal Backwardation Normal written by Robert W. Kolb and published by . This book was released on 1991 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Download or read book Backward to the Future written by David E. Allen and published by . This book was released on 2000 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Normal Backwardation on the Sydney Futures Exchange written by David E. Allen and published by . This book was released on 1997-01-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
