While the commodity markets provide a manager with ample opportunities for creating portfolios of diverse strategies, there are a number of challenges in doing so. In this paper, we provide two examples of those challenges: (1) the correlations amongst commodities vary seasonally due to...

The paper discusses the practical issues involved in applying a disciplined risk management methodology to futures trading. Specifically, the paper shows how to apply methodologies derived from both conventional asset management and hedge fund management to futures trading as well as discussing...