Given the size of the commodity index market, rollovers require large numbers of contracts to be purchased and sold on rollover dates. Index providers are careful in choosing their roll methods in order to minimize volatility and maximize the market efficiency of their indexes. This study...

This study analyses the potential for diversification among assets as suggested by modern portfolio theory. It uses Johansen's cointegration methodology to identify long-term relationships among assets. We compare results from optimized portfolios constructed from samples of country funds and...