A primer on commodity hedge funds

This article aims to describe the universe of long-short commodity funds and to identify the style that generates the highest α. We construct an extensive database of 683 active commodity hedge funds, covering the Jan 2000 - Dec 2010 observation period. Each fund is allocated to one of three styles:...

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Bibliographic Details
Published in:Journal of derivatives & hedge funds 2012-08, Vol.18 (3), p.223
Main Authors: Bauer, Christopher, Heidorn, Thomas, Kaiser, Dieter
Format: Article
Language:English
Subjects:
Commodity futures
Commodity prices
Datasets
Economic crisis
Futures
Hedge funds
Investment policy
Investments
Investors
Optimization techniques
Securities analysis
Statistical analysis
Stock exchanges
Studies
Volatility
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Summary:This article aims to describe the universe of long-short commodity funds and to identify the style that generates the highest α. We construct an extensive database of 683 active commodity hedge funds, covering the Jan 2000 - Dec 2010 observation period. Each fund is allocated to one of three styles: long-short futures, long-short equities or funds of funds. Overall, we show that all commodity styles generate αs against the investigated commodity benchmarks. Furthermore, long-short futures managers show the highest αs and Sharpe ratios and the lowest volatility relative to the other styles. [PUBLICATION ABSTRACT]
ISSN:1753-9641
1753-965X
DOI:10.1057/jdhf.2012.10