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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | A General Critical Review and Uses of Commodity Indices |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 55 |
| Date | 2021 |
| Abstract Text | The purpose of this thesis lies in providing a critical review and uses of commodity indices through the analysis of the three generations of commodity indices which are constructed with futures contracts. Concepts of price determination, returns, and roll yields for futures are elab-orated and highlight the importance of the term structure when constructing indices. Commod-ity indices evolved from informational and benchmarking channels to sophisticated blueprint-ing and contracting vehicles providing further value to various stakeholders. Third generation indices using active signals for long-short allocations prove their superiority by presenting greater returns and lower risk measures as their predecessors. |
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