Activities / CV

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• Journal of Alternative Investments (2000, 2001; 2004, 2006, 2008)
• Journal of Wealth Management (2005)
• Singapore Economic Review (2004)
• Quantitative Finance (2002, 2003)

• Has There Been Excessive Speculation in the US Oil Futures Markets? What Can We (Carefully) Conclude from New CFTC Data?

  Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation. Read next page

  Type of document : Position PaperDownload file
• The Oil Markets: Let the Data Speak for Itself 

  In summary, our position paper argues that with the fundamental supply-and-demand balance so tight and that with effective OPEC spare capacity so low it is logical to see very high prices to ration demand and/or encourage additional supply. That is the job and message of price, even if the message is unpopular. Read next page

  Type of document : Position PaperDownload file
• Oil Prices: the True Role of Speculation 

  In US dollar terms, the price of oil rose 525% from the end of 2001 to July 31, 2008. This position paper argues that, despite the appeal of blaming speculators, supply-and-demand imbalances, the fall in the dollar and low spare capacity in the oil-producing countries are the major causes of this sharp rise. Read next page

  Type of document : Position PaperDownload file
• Risk Management and Portfolio Construction in a Commodity Futures Programme 

  The focus of this article will be on risk management within the context of a total-return futures program centered on commodities. Read next page

  Type of document : Working PaperDownload file
• The Amaranth Collapse 

  On September 18th, 2006, market participants were made aware of a large hedge fund's distress. Read next page

  Type of document : Working PaperDownload file
• Trading Strategies in the current commodity Market Environment 

  This article will argue that one can indeed intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from the Intelligent Commodity Investing book. Read next page

  Type of document : Working PaperDownload file
• EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle 

  We examine how Amaranth, a respected, diversified multi-strategy hedge fund, could have lost 65% of its $9.2 billion assets in a little over a week. Read next page

  Type of document : Position PaperDownload file
• The Risks of Commodity Investing 

  This chapter will cover investing in commodities through futures contracts. Read next page

  Type of document : Working PaperDownload file
• Measuring Risk-Adjusted Returns in Alternative Investments 

  Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. Read next page

  Type of document : Working PaperDownload file
• The Risk Considerations Unique to Hedge Funds 

  This article continues in the spirit of the August 2002 Quantitative Finance feature on Measuring Risk-Adjusted Returns in Alternative Investments. Read next page

  Type of document : Working PaperDownload file
• Structural Sources of Return and Risk in Commodity Futures Investments 

  By now it has become well known that commodities have had superior performance over the past four and a half years. Read next page

  Type of document : Working PaperDownload file
• Separating the Wheat from the Chaff 

  In this paper, the authors examine the role of backwardation in the performance of passive long positions in soybeans, corn and wheat futures over the period of 1950 to 2004. Read next page

  Type of document : Working PaperDownload file
• Challenges in Commodities Risk Management 

  The recent outperformance of commodities versus equities has caused a positive re-evaluation of commodities by both retail and institutional investors. Read next page

  Type of document : Working PaperDownload file
• Natural Resources Fund-of-Funds : Active Management, Risk Management, and Due Diligence 

  This article comprehensively covers the new field of natural-resources fund-of-funds investing. Read next page

  Type of document : Working PaperDownload file
• Commodities - Active Strategies for Enhanced Return 

  In this article, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation. Read next page

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• Portfolio Risk Measurement in Commodity Futures Investments 

  When an investor elects to invest in a commodity index product, that investor realizes that he or she will earn the inherent return of the asset class and will be able to do so cheaply, but will not be provided with any downside risk protection. Read next page

  Type of document : Working PaperDownload file
• Survey of Recent Hedge Fund Articles 

  In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Read next page

  Type of document : Working PaperDownload file
• On the Role of Hedge Funds in Institutional Portfolios 

  Hedge funds do not easily fit into the current way institutions go about investing. Read next page

  Type of document : Working PaperDownload file
• Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio: Traditional versus Alternative Approaches 

  This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. Read next page

  Type of document : Working PaperDownload file
• A Long-Term Perspective on Commodity Futures Returns A Review of the Historical Literature (I)Type of document : Working PaperDownload file
• Measure for Measure 

  In a previous column, I touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. Read next page

  Type of document : Working PaperDownload file
• Life at Sharpe's End 

  If you saw that a well-known Commodity Trading Advisor (CTA) was in a Top 20 CTA table with returns of 44.1% during the year 2000, you would probably think that CTA did a great job for his or her investors, right? Read next page

  Type of document : Working PaperDownload file