The impact of indexing is exceptionally well documented in the equity markets. The same has not yet been the case for the commodity markets. Our empirical results suggest that one should see increased price-pressure effects in the commodity markets with any increase in the popularity of...

In the Fall of 2011, futures market participants were caught off-guard when MF Global filed for bankruptcy. Essentially, this episode educated industry participants that customer protections in the U.S. commodity futures markets had been more ambiguous than expected. That said, there are a...

This article covers the trading blowups at the hedge fund, Amaranth, and at the Futures Commission Merchant, MF Global. Although the lessons from the Amaranth blowup can best be understood in terms of market-risk principles, the lessons from the MF Global bankruptcy are best understood in terms...

This paper will argue that long-only investments in the commodity futures markets, specifically those represented by the GSCI, are only advisable under a well-defined circumstance. One needs to use a reliable indicator of scarcity before investing in commodities in order to improve the chances...

In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we summarize the...

While the commodity markets provide a manager with ample opportunities for creating portfolios of diverse strategies, there are a number of challenges in doing so. In this paper, we provide two examples of those challenges: (1) the correlations amongst commodities vary seasonally due to...

In U.S. dollar terms, crude oil prices increased 525% from the end-of-2001 through July 31st, 2008. Was this rally yet another speculative bubble? Specifically, has the oil rally been based on speculative excess rather than fundamental supply-and-demand factors? In summary, this paper argues...

This article discusses the state-of-the-art in applying returns-based analyses to hedge funds. The article pays particular attention to those hedge fund strategies where the use of either derivatives or dynamic trading strategies can lead to highly asymmetric outcomes

Futures market participants were caught off-guard when MF Global, a commodity futures broker, filed for bankruptcy on October 31st, 2011. By now, bankruptcies of financial firms are not unusual, so why did this one cause such consternation? Essentially, this episode educated industry...

Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...