Facts and Fantasies about Commodity Futures

We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.

The Fundamentals of Commodity Futures Returns

Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is a decreasing, non-linear relationship of inventories. Price measures, such as the futures basis, prior futures returns, and spot returns reflect the state of inventories and are informative about commodity futures risk premiums. The excess returns to Spot and Futures Momentum and Backwardation strategies stem in part from the selection of commodities when inventories are low. Positions of futures markets participants are correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are an important determinant of risk premiums.

Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors

Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data sets to be severely biased. And, because hedge funds use nonlinear, state-dependent, leveraged strategies, it has proven difficult to determine whether they add value relative to benchmarks. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess returns to investors (i.e., net of fees) averaged 85 basis points per annum over US T-bills, which is insignificantly different from zero. We estimate that CTAs on average earned gross excess returns (i.e., before fees) of 5.4%, which implies that funds captured most of their performance through charging fees. Yet, even before fees we find that CTAs display no alpha relative to simple futures strategies that are in the public domain. We argue that CTAs appear to persist as an asset class despite their poor performance, because they face no market discipline based on credible information. Our evidence suggests that investors' experience of poor performance is not common knowledge.

WATERWEB - Water Resource Strategies and Drought Alleviation in Western Balkan Agriculture: An EU INCO-WB Project

A three-year project, within the EU FP6 INCO-WB programme, with four EU and three WB partners, started in spring 2004 to develop strategies to manage water resources for three regions in Serbia and Montenegro and Macedonia from a river basin scale through the farm and crop scales to single plant water use, taking account of environmental, socio-economic and health implications of different types of land-water use. Consortium members will study river flow, evaporation regimes, rainfall patterns, runoff and water availability in relation to land management, using GIS to categorize two regions near Belgrade, Serbia and Ovce Pole, Macedonia. Water quality and nutrient use will be studied in relation to eutrophication, micro-biological hazards and ecotoxicology on the farm scale, together with trials on water and nutrient use to test deficit irrigation techniques with maize, grapevine, potato, tomato and quinoa. Results will be extended to tests on selected local farmsinfo:eu-repo/semantics/publishedVersio

A multi-model approach to stakeholder engagement in complex environmental problems

We describe the different types of models we used as part of an effort to inform policy-making aiming at the management of the Ningaloo coast in the Gascoyne region, Western Australia. This provides an overview of how these models interact, the different roles they cover, how they fit into a full decision making process and what we learnt about the stakeholders involved in our project via their use. When modelling is explicitly used to address socio-ecological issues, the key determinant of success is whether the models, their results and recommendations are taken up by stakeholders; such uptake in turn depends on addressing stakeholders’ concerns, on engaging them in the project, on ensuring they feel ownership of the decision process at large, and that they understand and trust the modelling effort. This observation has guided our approach and has resulted in treating ‘building a model’ as the catalyst, rather than the final aim, of the process. In other words, extensive interactions in order to introduce, showcase, discuss and tune the model used for final decision making have represented both a requirement and an opportunity to ensure (i) model relevance, (ii) its acceptance, (iii) that all information available in the stakeholder team was accounted for and (iv) that stakeholders holding different levels of understanding of modelling, what it does and what it can provide to decision-making could develop an informed opinion on its use. To fulfil these roles we developed five broad classes of models: conceptual models, toy-models, singlesystem models, shuttle-models and a full-system model. In conceptual models the main drivers of a system are highlighted for subsequent representation as components of the full-system model. This usually results in a diagram summarising our understanding of how the system works. In toy-models a problem is simplified in such a way that only a handful of components are included. The purpose of these models is mostly educational: we want to understand how each component affects the problem and in order to achieve this, we temporarily renounce a satisfactory understanding of the overall problem. In single-system models we include a fairly detailed representation of a single component of the system (in our case recreational fishing and tourism); these models can be used to introduce stakeholders to modelling, provide temporary results from the study of a single activity, which will feed into the development of the final full-system model, or address sector-specific issues. In shuttle-models, we include the minimum number of processes we believe are crucial for a basic understanding of the overall problem. We know these models are still too simple for full system description, but they provide a sufficient understanding to enable us to contemplate, build and use the more complex models needed for full problem description. The term ‘shuttle’ refers to taking us from a minimum to a full description of the problem, a journey which is necessary both to developers in model definition and parameterisation and to stakeholders in the interpretation of the final full-system model results. Finally, the full-system model includes all information collected through the project and addresses all scenarios of stakeholders concern, and whose definition has been greatly eased by use of the ‘simpler’ models. As an example, a conceptual model may identify fishing and tourism as the main drivers of a region; a toymodel may describe how catches affect fish stocks; a single-system model may include the effect of gear, regulations and other processes affecting recreational fishing; a shuttle-model may include a simplified representation of the interaction between fishing, tourism, and infrastructure development on the overall health of the local ecosystem; this will gradually ‘take’ us to comprehend the ‘full’ model which may include tourism pressure, fish market values, climate effect, larger food-webs, etc

Stress, distress and air traffic incidents: job dysfunction and distress in airline pilots in relation to contextually-assessed stress

This study used contextual stress measurement to look at the occupational sequelae of stress. One hundred and five civil aviation pilots were interviewed. Events and difficulties were dated and rated for contextual threat; dating information was also obtained for distress symptoms and air traffic incidents. There were significant relationships between stress and air incidents, between stress and distress, and between distress and incidents. Some symptoms (sleep disturbances, loss of energy and tiredness) were more likely to be associated with reported incidents than others. The results are in line with previous suggestions that the effect of stress on job performance is via distress. Distress-related sleep disturbances may be particularly crucial. Further work using contextual stress measurement is needed to clarify the causal pathways involved

Mercury pollution for marine environment at Farwa Island, Libya

Coimmobilization of pyranose dehydrogenase as an enzyme catalyst, osmium redox polymers [Os­(4,4′-dimethoxy-2,2′-bipyridine)₂(poly­(vinylimidazole))₁₀Cl]⁺ or [Os­(4,4′-dimethyl-2,2′-bipyridine)₂(poly­(vinylimidazole))₁₀Cl]⁺ as mediators, and carbon nanotube conductive scaffolds in films on graphite electrodes provides enzyme electrodes for glucose oxidation. The recombinant enzyme and a deglycosylated form, both expressed in Pichia pastoris, are investigated and compared as biocatalysts for glucose oxidation using flow injection amperometry and voltammetry. In the presence of 5 mM glucose in phosphate-buffered saline (PBS) (50 mM phosphate buffer solution, pH 7.4, with 150 mM NaCl), higher glucose oxidation current densities, 0.41 mA cm^–2, are obtained from enzyme electrodes containing the deglycosylated form of the enzyme. The optimized glucose-oxidizing anode, prepared using deglycosylated enzyme coimmobilized with [Os­(4,4′-dimethyl-2,2′-bipyridine)₂(poly­(vinylimidazole))₁₀Cl]⁺ and carbon nanotubes, was coupled with an oxygen-reducing bilirubin oxidase on gold nanoparticle dispersed on gold electrode as a biocathode to provide a membraneless fully enzymatic fuel cell. A maximum power density of 275 μW cm^–2 is obtained in 5 mM glucose in PBS, the highest to date under these conditions, providing sufficient power to enable wireless transmission of a signal to a data logger. When tested in whole human blood and unstimulated human saliva maximum power densities of 73 and 6 μW cm^–2 are obtained for the same fuel cell configuration, respectively