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	<title>CXO Advisory &#187; Commodity Futures</title>
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	<link>http://www.cxoadvisory.com</link>
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		<title>Exploiting Idiosyncratic Volatility in Commodity Futures [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/</link>
		<comments>http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/#comments</comments>
		<pubDate>Thu, 05 Jan 2012 11:00:49 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Momentum Investing]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18423</guid>
		<description><![CDATA[Can investors exploit idiosyncratic volatility exhibited by commodity futures? In their December 2011 paper entitled &#8220;Idiosyncratic Volatility Strategies in Commodity Futures Markets&#8221;, Adrian Fernancez-Perez, Ana-Maria Fuertes and Joelle Miffre investigate the usefulness of idiosyncratic volatility as a predictor of commodity futures returns. They define idiosyncratic volatility of commodity futures as return volatility not explained by contemporaneous variation in <a href="http://www.cxoadvisory.com/18423/volatility-effects/exploiting-idiosyncratic-volatility-in-commodity-futures/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
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		<title>How Many Commodity Sectors? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/18401/commodity-futures/how-many-commodity-sectors/</link>
		<comments>http://www.cxoadvisory.com/18401/commodity-futures/how-many-commodity-sectors/#comments</comments>
		<pubDate>Thu, 29 Dec 2011 11:09:17 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=18401</guid>
		<description><![CDATA[How many commodity sectors are relevant for portfolio diversification planning, and how do their behaviors differ? In their December 2011 paper entitled &#8220;How Many Commodity Sectors Are There, and How Do They Behave?&#8221;, Geetesh Bhardwaj and Adam Dunsby examine the statistical properties of commodity futures prices to discover natural sectors and investigate how returns for these <a href="http://www.cxoadvisory.com/18401/commodity-futures/how-many-commodity-sectors/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Stock Index Futures Calendar Effects [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/17701/calendar-effects/stock-index-futures-calendar-effects/</link>
		<comments>http://www.cxoadvisory.com/17701/calendar-effects/stock-index-futures-calendar-effects/#comments</comments>
		<pubDate>Mon, 21 Nov 2011 11:09:03 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Commodity Futures]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=17701</guid>
		<description><![CDATA[Do calendar effects found in stock markets also appear in broad stock index futures? In their November 2011 paper entitled &#8220;Calendar Anomalies in Stock Index Futures&#8221;, Oscar Carchano and Angel Pardo investigate 188 possible cyclical anomalies in S&#38;P 500, DAX and Nikkei index futures contracts (derived from day-of-the-week, month-of-the-year, weekday-of-the-month, week-of-the-month, semi-month, turn-of-the-month, end-of-year, holidays, semi-month-of-the-year, <a href="http://www.cxoadvisory.com/17701/calendar-effects/stock-index-futures-calendar-effects/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/17701/calendar-effects/stock-index-futures-calendar-effects/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Multi-year Performance of Non-equity Leveraged ETFs</title>
		<link>http://www.cxoadvisory.com/17565/volatility-effects/multi-year-performance-of-non-equity-leveraged-etfs/</link>
		<comments>http://www.cxoadvisory.com/17565/volatility-effects/multi-year-performance-of-non-equity-leveraged-etfs/#comments</comments>
		<pubDate>Thu, 10 Nov 2011 11:07:04 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Gold]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/17565/volatility-effects/multi-year-performance-of-non-equity-leveraged-etfs/</guid>
		<description><![CDATA[An array of leveraged exchange-traded funds (ETF) track short-term (daily) changes in commodity and currency exchange indexes. Over longer holding periods, these ETFs tend to veer off track. The cumulative veer can be large. How do leveraged ETFs perform over a multi-year period? What factors contribute to their failure to track underlying indexes? To investigate, <a href="http://www.cxoadvisory.com/17565/volatility-effects/multi-year-performance-of-non-equity-leveraged-etfs/"><strong>More...</strong></a>]]></description>
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		<slash:comments>0</slash:comments>
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		<title>Does the Sunspot Cycle Predict Energy and Grain Prices?</title>
		<link>http://www.cxoadvisory.com/3642/calendar-effects/does-the-sunspot-cycle-predict-energy-and-grain-prices/</link>
		<comments>http://www.cxoadvisory.com/3642/calendar-effects/does-the-sunspot-cycle-predict-energy-and-grain-prices/#comments</comments>
		<pubDate>Mon, 24 Oct 2011 17:10:45 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Calendar Effects]]></category>
		<category><![CDATA[Commodity Futures]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com.php5-14.websitetestlink.com/?p=3642</guid>
		<description><![CDATA[As a follow-up to &#8220;Sunspot Cycle and Stock Returns&#8221; reader asked: &#8220;Sunspot activity does have a direct relationship to weather. Could one speculate on the natural gas market or the agriculture market using the sunspot cycles?&#8221; Using monthly averages of daily sunspot counts from the Solar Influences Data Analysis Center and monthly U.S. wheat prices for September 1928 <a href="http://www.cxoadvisory.com/3642/calendar-effects/does-the-sunspot-cycle-predict-energy-and-grain-prices/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/3642/calendar-effects/does-the-sunspot-cycle-predict-energy-and-grain-prices/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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		<item>
		<title>Prediction of Industry-level Returns Based on Oil Price Changes [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/16836/fundamental-valuation/prediction-of-industry-level-returns-based-on-oil-price-changes/</link>
		<comments>http://www.cxoadvisory.com/16836/fundamental-valuation/prediction-of-industry-level-returns-based-on-oil-price-changes/#comments</comments>
		<pubDate>Wed, 05 Oct 2011 10:07:51 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Fundamental Valuation]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=16836</guid>
		<description><![CDATA[Do oil price variations reliably affect returns for U.S. industry-level stock portfolios? In the June 2011 draft of their paper entitled &#8220;U.S. Industry-Level Returns and Oil Prices&#8221;, Qinbin Fan and Mohammad Jahan-Parvar apply several tests to investigate how oil price changes impact stock returns for 49 U.S. industries. They test economic significance by: (1) using a 60-month rolling historical window <a href="http://www.cxoadvisory.com/16836/fundamental-valuation/prediction-of-industry-level-returns-based-on-oil-price-changes/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/16836/fundamental-valuation/prediction-of-industry-level-returns-based-on-oil-price-changes/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Long and Short of Commodity Futures [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/16389/commodity-futures/long-and-short-of-commodity-futures/</link>
		<comments>http://www.cxoadvisory.com/16389/commodity-futures/long-and-short-of-commodity-futures/#comments</comments>
		<pubDate>Mon, 19 Sep 2011 10:09:40 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=16389</guid>
		<description><![CDATA[What is the best way to incorporate commodities into a diversified portfolio? In her August 2011 paper entitled &#8220;Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation&#8221;, Joelle Miffre studies the performance of long-short commodity strategies and their hedging properties with respect to traditional asset classes (proxied by the S&#38;P 500 Index and Barclays Capital <a href="http://www.cxoadvisory.com/16389/commodity-futures/long-and-short-of-commodity-futures/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/16389/commodity-futures/long-and-short-of-commodity-futures/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Gold Bubble? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/15751/commodity-futures/gold-bubble/</link>
		<comments>http://www.cxoadvisory.com/15751/commodity-futures/gold-bubble/#comments</comments>
		<pubDate>Mon, 22 Aug 2011 10:02:48 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Gold]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=15751</guid>
		<description><![CDATA[Has the strong appreciation of gold since 2001 produced a price bubble? In their March 2011 paper entitled &#8220;Is There a Speculative Bubble in the Price of Gold?&#8221;, Jedrzej Bialkowski, Martin Bohl, Patrick Stephan and Tomasz Wisniewski measure deviations of actual gold price from its fundamental value to identify gold bubbles. They use the convenience <a href="http://www.cxoadvisory.com/15751/commodity-futures/gold-bubble/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/15751/commodity-futures/gold-bubble/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Any &#8220;Easy&#8221; Risk Premium in Agricultural Commodity Futures? [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/14179/commodity-futures/any-easy-risk-premium-in-agricultural-commodity-futures/</link>
		<comments>http://www.cxoadvisory.com/14179/commodity-futures/any-easy-risk-premium-in-agricultural-commodity-futures/#comments</comments>
		<pubDate>Mon, 06 Jun 2011 10:14:50 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=14179</guid>
		<description><![CDATA[Can speculators in agricultural commodity futures earn a reliable premium from those seeking to hedge agricultural industry risk? In other words, can traders systematically exploit a persistent backwardation of agricultural commodity futures contracts? In the May 2011 version of their paper entitled &#8220;Returns to Traders and Existences of a Risk Premium of a Risk Premium <a href="http://www.cxoadvisory.com/14179/commodity-futures/any-easy-risk-premium-in-agricultural-commodity-futures/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/14179/commodity-futures/any-easy-risk-premium-in-agricultural-commodity-futures/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
		</item>
		<item>
		<title>Commodity Market Price Statistics [PREMIUM]</title>
		<link>http://www.cxoadvisory.com/14129/volatility-effects/commodity-market-price-statistics/</link>
		<comments>http://www.cxoadvisory.com/14129/volatility-effects/commodity-market-price-statistics/#comments</comments>
		<pubDate>Tue, 31 May 2011 10:02:04 +0000</pubDate>
		<dc:creator>Steve LeCompte</dc:creator>
				<category><![CDATA[Commodity Futures]]></category>
		<category><![CDATA[Volatility Effects]]></category>

		<guid isPermaLink="false">http://www.cxoadvisory.com/?p=14129</guid>
		<description><![CDATA[How do the daily price statistics of commodities differ, and how do they compare with those for equities? In their May 2011 paper entitled &#8220;The Dynamics of Commodity Prices&#8221;, Chris Brooks and Marcel Prokopczuk examine the daily price statistics for six major commodity markets (crude oil, gasoline, gold, silver, soybeans and wheat) individually and relative <a href="http://www.cxoadvisory.com/14129/volatility-effects/commodity-market-price-statistics/"><strong>More...</strong></a>]]></description>
		<wfw:commentRss>http://www.cxoadvisory.com/14129/volatility-effects/commodity-market-price-statistics/feed/</wfw:commentRss>
		<slash:comments>0</slash:comments>
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