This brief paper discusses the option-like exposures of a number of hedge fund strategies based on a review of the literature on the topic. Specifically, recent academic articles have argued that implicit options arise in hedge fund products due to the following factors: (1) the tailoring of...

The focus of this paper will be on risk management within the context of a total-return futures program centered on commodities. The following issues will be addressed: the evaluation of normal versus eventful risk; the sizing of trades and strategy buckets; and the construction of a portfolio,...

The paper discusses the practical issues involved in applying a disciplined risk management methodology to futures trading. Specifically, the paper shows how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading as well as discussing...

With concerns on inflation flaring up, there has been renewed interest in potentially including commodities in diversified portfolios. This article builds off prior research in examining which commodities to include and in what size. The article briefly reviews the relevant literature and...