Acknowledgments ix PART ONE Basics 1 CHAPTER 1 Introduction 3 CHAPTER 2 Commodity Futures as Investments 9 CHAPTER 3 Commodities for the Long Run 29 PART TWO Understanding Energy 37 CHAPTER 4 Crude Oil 39 CHAPTER 5 Heating Oil 57 CHAPTER 6 Gasoline 67 CHAPTER 7 Natural Gas 79 PART THREE Understanding Grains and Oilseeds 93 CHAPTER 8 Corn 95 CHAPTER 9 Wheat 107 CHAPTER 10 Soybeans 117 PART FOUR Understanding Livestock 131 CHAPTER 11 Hogs 133 CHAPTER 12 Cattle 141 PART FIVE Understanding Industrial Metals 151 CHAPTER 13 Copper 153 CHAPTER 14 Aluminum 165 CHAPTER 15 Zinc 177 PART SIX Understanding the Softs 187 CHAPTER 16 Coffee 189 CHAPTER 17 Sugar 197 CHAPTER 18 Cocoa 207 CHAPTER 19 Cotton 213 PART SEVEN How to Invest 221 CHAPTER 20 Some Building Blocks of a Commodity Futures Trading System 223 CHAPTER 21 The Rise of the Indexes 245 CHAPTER 22 Conclusion 265 APPENDIX The London Metal Exchange 269 Notes 273 References 283 About the Authors 287 Index 289
Adam Dunsby is a principal at Cornerstone Quantitative Investment Group. He received both his undergraduate degree and PhD in finance from the Wharton School of the University of Pennsylvania. John Eckstein is a principal at Cornerstone Quantitative Investment Group. He earned a BS from Brown University, where he studied computer science and cognitive science. Mr. Eckstein developed investment application software for money management firms prior to his current position. Jess Gaspar is the Director of Research at Cornerstone Quantitative Investment Group. He earned his undergraduate degree from MIT and his PhD in economics from Stanford. After receiving his PhD, Mr. Gaspar was an assistant professor at the University of Chicago, where he did research and taught international economics and computational methods in economics and finance. Mr. Gaspar worked at McKinsey & Co. as a consultant before joining Cornerstone. Sarah Mulholland is the head trader at Cornerstone Quantitative Investment Group. She earned a BS in economics from the Wharton School of the University of Pennsylvania. Prior to joining Cornerstone, she traded energy derivatives for Enron North America and PSE&G.