Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

This study examines seasonality in the conditional and unconditional mean and variance of
daily gold and silver contracts over the 1982–2002 periods. Using COMEX cash and futures …

This paper examines profitable trading strategies that jointly exploit momentum and reversal
signals in commodity futures. While the single-sort momentum strategies returns 11.14% per …

We develop a behavioral exchange rate model with chartists and fundamentalists to study
cyclical behavior in foreign exchange markets. Within our model, the market impact of …

The study reported here empirically examined whether the alphas of hedge funds and those
of long-only portfolios present different distributions and are derived from different risk …

The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

The purpose of this book is to present the principles of alternative investments in
management. The individual chapters provide a detailed analysis of various classes of …

The Hedge Fund Compliance and Risk Management Guide provides you with a broad
examination of the most important compliance and risk management issues associated with …

We reexamine commodity futures returns for evidence of fractional integration utilizing two
estimators based on wavelets. We summarize basic wavelet methods for signal processing …

The Indian commodity market requires large investments and enhanced trading activity both
in the national as well as the regional commodity markets. The participation of non …