market intelligence
CONTENTS
Executive summary Japanese pension funds Deutsche Bank Liquid Commodity Index –
Commodities as an investment vehicle PGGM’s commodity investment strategy
Optimum Yield
Investment products
Pension funds turn to hedge funds Deutsche Bank Liquid Commodity Index –
Commodity indices
The Bridgewater investment approach Optimum Yield Broad
Index funds
Hedge funds Deutsche Bank Liquid Commodity Index –
Structured commodity products
Hedge funds and commodities investment Optimum Yield Broad
Commodities investors
Hedge funds go from trading to owning Deutsche Bank Liquid Commodity Index –
Pension funds
commodities
Optimum Yield Balanced
Impact of hedge funds on commodity prices
Hedge funds
Dow Jones–AIG Commodity Index (DJ-AIGCI)
Diversification into transportation and
Investors and market dynamics
Lehman Brothers Commodity Index (LBCI)
production
The sell side
Merril Lynch Commodity Index (LBCI)
Changing outlook for hedge funds
The big issues – food price inflation and
Reuters-Jeffries/CRB Index (RJ/CRB)
Sovereign wealth funds
biofuels
Rogers International Commodity Index (RICI)
SWFs and commodity investment
The outlook for commodities
Standard & Poor’s Goldman Sachs
SWFs – facts and figures
Let the buyer beware
Commodity Index (S&P GSCI)
SWFs defined
About this report
UBS Bloomberg Constant Maturity
Key considerations
Postscript, 30 April 2008
Commodity Index (UBS CMCI)
Chapter 03
Baltic Dry Freight Index
Chapter 01
Sources of returns within a commodity index
INVESTMENT PRODUCTS Energy returns
THE COMMODITIES UNIVERSE
Storage and convenience yield
Overview
Commodities as an asset class
Collateralised commodity obligations
Roll yield
Commodity price dynamics
How a CCO works
Total return swaps
Commodity trading technicalities
Mean-reversion
Backwardation and contango
Advantages of CCOs
Chapter 05
Futures versus spot returns
Structural variations
AGRICULTURAL COMMODITIES
The investment case
Risks to CCO structures
Commodities reduce risk in a portfolio
CCO issuers
Agricultural commodities markets
Commodities enhance portfolio returns
Exchange-traded funds and exchange-traded
A super bull-run for softs?
Commodities offer an attractive risk/return commodities
Food price inflation
profile
Commodity ETFs
Food demand: income growth is the key
Alpha and beta investment strategies
Exchange-traded commodities
driver
Adding alpha to beta
Derivatives and futures
Food production versus biofuels
Commodities investment
Commodity derivatives
Agricultural commodities
Methods of investing in commodities
Structured investments
Coffee
Advantages and disadvantages
Gold-linked notes
Corn
Commodity indices
Digital options
Cotton
Index funds
Capital guaranteed structures
Lumber
Structured commodity products
Combination structures
Palm oil
Commodities investors
Non-combination structures
Soybeans
Pension funds
Analysing investment structures
Sugar
Hedge funds
Wheat
Non-commercial traders
Chapter 04
Financial investors’ relationship with Chapter 06
commodities markets
COMMODITY INDICES
Motivating determinants
ENERGY COMMODITIES
Overview
Financial investors and market dynamics
Generating higher risk-adjusted returns
Energy markets
The sell side
Protection against inflation
Alternative and renewable energies
Banks’ expansion strategies
Commodity index versus equity investment
Oil prices
The competition for talent
Recent index performance
Changing oil market dynamics
The big issues – food price inflation and
Commodity indices as an inflation hedge
Oil reserves
biofuels
The JOC-ECRI Index
OPEC
Changing composition of FTSE 100
The commodity index as an asset class
Energy security
Index funds
Improving security measures
Chapter 02
Passive investment vehicles
Biofuels
COMMODITY BUYERS AND
How index funds make money
Production concerns
INVESTORS
Commodity index construction
Brazil – biofuel super-power
Number of components and weights
EU/US biofuels trading deal
Overview
The treatment of futures rolling
Carbon emissions trading – the new commodity
Pension funds
Rebalancing
Emissions and climate change
Global pension assets
Commodity index profiles
Exchange traded and price conventions
Changing asset allocation
CYD commodity indices
Energy commodities
North American pension funds
CX commodity Index (CX)
Coal
CalPERS
Diapason Commodities Index
Crude oil
Other US pension funds
Deutsche Bank Liquid Commodity Index
Refined oil products
European pension funds
(DBLCI)
Ethanol
UK pension funds
Deutsche Bank Liquid Commodity Index –
Natural gas
Asia-Pacific pension funds Mean Reversion US power
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