MIS 4500 Lecture Notes - S&P Gsci, S&P 500 Index, Risk Arbitrage
29 Apr 2013
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Types: direct commodity investment: cash market purchase involving actual possession and storage, indirect commodity investment: say as equity in companies specializing in production. Investment characteristics: understand investment characteristics of commodities on sector- or individual- commodity level, special risk characteristics: Unusually low correlations w/ equities and bonds. Price risk in periods of financial and economic distress. Long-term growth in world demand in limited supply: long-term trend growth. Inflation: natural sources of return; protection against unexpected inflation. Groups: relative value, event driven, equity hedge, global asset allocators, short selling. Fees: aum fee and incentive fee, high-water mark. Initial lock-up period: maybe 1 to 3 yrs. Benchmarks: cisdm of the university of massachusetts, credit/suisse/tremont, eacm advisors, hedge fund intelligence ltd, hedgefund. net, hfr, msci, dow jones hedge fund strategy benchmarks, hfr hedge fund indices, msci hedge invest index, standard & poor"s hedge fund indices.
