Commodity Portfolio Management: Strategy Structuring Considerations is the first part of a larger study whose second part is called Commodity Portfolio Management: Hedging Market Risk.
This deliberately simple quantitative research shows how different the statistical IDs of each commodity markets can be. The focus in the first part of this HyperVolatility research is not going to be on complex models but rather on simple yet powerful descriptive statistics which quite evidently displays:
1. How idiosyncratic movements in each commodity market can be
2. What is the impact that seasonality might have on each commodity market
3. How volatile prices in each commodity market can be
4. How the physical market affects and impacts the price in each commodity market
5. How high or low downside/upside hedging ratios must be in each commodity market
Commodity Portfolio Management: Strategy Structuring Considerations is a research that was written for the J.P. Morgan Center for Commodities and you can read it by clicking here
It is worth reminding that this is only the 1st part of a larger study and you can find the 2nd part of this quantitative research by clicking here
