國際管理期貨基金之策略與市場呈低相關性，是校務基金、退休基金以及機構法人於投資組合中重要投資部位。由於管理期貨基金在歐美長期優異的績效表現，為投資人所青睞與重視，加上金融海嘯時優於股市的績效表現，於資產配置中加入管理期貨基金，確實能夠提升報酬率或降低投資組合的風險。 我國在 2009 年募集第一檔期貨信託基金至今，共發行六檔對不特定人募集之期貨信託基金，一檔對符合一定資格之人募集之期貨信託基金，統計至 2015 年 6 月 30 日止對不特定人募集之期貨信託基金規模，共計28.01億，對照國際管理期貨基金至2015年3月31日止規模3,302億美元，相較 2007 年規模 2,066 億美元，成長 60%，國內期貨信託基金產業發展屬萌芽階段。 本研究針對國際管理期貨基金發展及目前發行的六檔期貨信託基金分析比較，並探討個案公司發展期貨信託基金所面臨之議題。最後研究具體建議：(1)於適法性下開放境外避險基金; (2)放寬期貨信託基金之投資限制與(3)對符合一定資格條件募集之期貨信託基金比照證券投資信託私募基金，可採事後報備制。

Produsente van landboukommoditeite, veral in ontwikkelende lande, word blootgestel aan prysrisiko's. Markte vir landboukommoditeite in Suid-Afrika, soos in die res van die wêreld, is die afgelope aantal jare gekenmerk deur prosesse van deregulering. Die bemarkingsrade wat aanvanklik verantwoordelik was vir die bemarking van landbouprodukte, het ontbind en produsente van landbouprodukte moes nuwe metodes vind om hulle produkte te bemark. Een van die metodes wat gebruik word, is termynkontrakte. Witmielies en geelmielies is die twee landboukommoditeite wat in die grootste hoeveelhede geproduseer word in Suid-Afrika. Witmielies en geelmielies word as twee afsonderlike kommoditeite verhandel op die termynbeurs. Witmielies word hoofsaaklik aangewend vir menslike verbruik en geelmielies vir dierevoer. Hierdie studie fokus hoofsaaklik op witmielies. Die prys van mielies word beïnvloed deur veranderinge in die vraag daarna en aanbod daarvan. Faktore wat die vraag en aanbod van mielies beïnvloed is, onder andere, oesskattings, reënval, die wisselkoers en die pryse van mielies op die buitelandse mark, veral die markte in die VSA. In Suid-Afrika vorm die invoerpariteit en uitvoerpariteit 'n band waarbinne die prys van mielies varieer. Die doel van hierdie studie is om 'n regressievergelyking te konstrueer ten einde prys van die witmielietermynkontrakte te verklaar. Die regressie-analise word deur middel van 'n foutherstellende model met outoregressiewe foutterme behartig. Die regressie-analise slaag daarin om die prys van witmielietermynkontrakte te verklaar. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2004.

The use of proxies in the CAPM model to determine assets expected return has implications for portfolio management. An inefficient proxy can result in the lowering of beta estimates due to a weak regression relationship resulting in the misallocation of capital. For the CAPM equation to be satisfied would require that the proxy should at least have an alpha that centred on zero over a period of time. This would allow the linearity of the model to hold and we would advocate a passive portfolio strategy. If the proxy were mean variance inefficient would indicate that alpha values are present in asset returns that can allow us to rebalance portfolios using optimisation techniques. We test the hypothesis that alpha averages around zero using the market model by regressing Industrial and Gold index excess returns on the market premium. When tested from the SA investor perspective we find that the alpha of the ALSI regression is not zero for the Gold Index but centred on zero for the Industrial Index. The implications are that SA investors would get a fair return holding the ALSI index instead of trade in industrial shares. The result warrants a passive strategy. However, portfolio optimisation demonstrates that a higher return can be achieved by rebalancing the portfolio The regression using the Gold index produced a negative alpha implying that investors should actively sell Gold shares from their portfolios. The ALSI was not an adequate proxy of risk to the SA investor for gold shares. Overall the ALSI is inefficient since it has a nonlinear relationship to one sector of the lSE. Portfolio analysis and rebalancing is required to attain an optimal return. The Markowitz model recommends that all SA investment capital should be fully weighted in the Industrial index only. Introducing an international investment proxied by the Dow Jones significantly improved the returns to SA investors. This is evident in the improved Sharpe ratio achieved by the rand adjusted Dow Jones available to the SA investor. In the absence of exchange restrictions the model recommends that 87% of local investors assets should be moved abroad under the present investment conditions. When tested from the US investor's perspective using dollar returns the data estimates achieved from the regression analysis were: The alpha value of the Industrial index is non-zero and the Gold index alpha centres on zero. The results are a reversal of the Rand tests of the SA investor. Gold shares priced fairly in dollar terms as opposed to Industrial shares. Currency effects of Rand depreciation priced into the dollar return of Industrial shares led to their non-participation in the US investors' portfolio. Due to trade of gold in dollars, the gold shares were priced to provide a fair return to the dollar-adjusted ALSI as opposed to the rand denominated test. Overall, the ALSI was inefficient due to the Industrial sector pricing in dollars resulting in abnormal alpha values over time. Currency depreciation resulted in the distortion ofthe CAPM relationship between the INDI and ALSI. The US investor's domestic index, the Dow Jones was found to lie on the efficiency frontier for tests using the ALSI and the INDI. There was no reason to invest in SA, but if the US investor did chose to invest in SA shares then gold had the lowest beta and the lowest correlation to the Dow Jones. The beta values of the SA indices were all significant and the alpha values were negative when regressed against the Dow Jones. The implication of this would be to invest as much as possible in the international index portfolio as possible. Regression Statistics ALSIXS I:\DIXS GOLDIXS P-values ntercept a 1.18E-05 0.001992 1.51 E-OS DOWJONES 9.87E-15 1.32E-11 5.27E-05. Coefficients intercept a -0.09833 -0.07281 -0.15206 DOWJONES 1.082276 0.985812 0.831916. The Dow Jones introduces a significant diversification benefit to the SA investor's portfolio by increasing returns significantly per unit of risk. The Markowitz model recommends that 87% of SA investor's portfolio should be in the Dow Jones and 13% in the Industrial index. Due to independent pricing of the gold and industrial sectors, the former by international markets in dollars and the latter in rands in SA, a dichotomy is created in the local market. From an SA investor's point of view the CAPM would not capture the correct return of gold shares. It would overstate the expected return since beta of the SA market premium will not include dollar returns. The ALSI is an incorrect proxy for the SA investor analysing gold shares. The Gold sector is only correctly priced from the US investor's perspective once the ALSI is dollar adjusted. The industrial index can use CAPM analysis reliably with the ALSI as market proxy but higher returns are achievable through portfolio rebalancing. Active portfolio management is recommended. Nevertheless, this will not produce results significantly different to the CAPM once standard errors of the mean are accounted for. The results found currency depreciation of the Rand as a major factor contributing to the exodus of SA capital. The dollar had an expected mean return of 12,6% p.a. This substantially increased the rand adjusted Sharpe ratio of the international portfolio compared to its dollar return. The increased Sharpe ratio of the rand denominated international portfolio resulted in a substantial shift of the optimal portfolios weighting away from the domestic portfolio and towards the Dow Jones. International investors optimal portfolios were similarly impeded due to the depreciating currency. / Thesis (MBA)-University of Natal, Durban, 2001.

The purpose of this thesis is to investigate how Western Canadian wheat producers’ make their marketing decisions. In Canada, wheat, durum wheat, and barley produced for human consumption and export are marketed through the Canadian Wheat Board (CWB), which offers several marketing contracts providing distinct combinations of risk, return, and cash flow. Pool pricing is the default alternative in which the CWB markets grain for producers, while Producer Payment Options (PPOs) represent instruments producers can use to price their wheat outside the pool. Results suggest that generally producers are not able to identify profit opportunities with PPOs, but active marketing strategies tend to generate better performance compared to passive strategies. Further, producers do not seem to repeat the same strategy every year and are influenced by previous performance when choosing their current marketing strategy. Finally, producers seem to follow price signals in choosing marketing contracts, indicating they track market movements and respond to the incentive of locking in higher prices.

Produsente van landboukommoditeite, veral in ontwikkelende lande, word blootgestel aan prysrisiko's. Markte vir landboukommoditeite in Suid-Afrika, soos in die res van die wêreld, is die afgelope aantal jare gekenmerk deur prosesse van deregulering. Die bemarkingsrade wat aanvanklik verantwoordelik was vir die bemarking van landbouprodukte, het ontbind en produsente van landbouprodukte moes nuwe metodes vind om hulle produkte te bemark. Een van die metodes wat gebruik word, is termynkontrakte. Witmielies en geelmielies is die twee landboukommoditeite wat in die grootste hoeveelhede geproduseer word in Suid-Afrika. Witmielies en geelmielies word as twee afsonderlike kommoditeite verhandel op die termynbeurs. Witmielies word hoofsaaklik aangewend vir menslike verbruik en geelmielies vir dierevoer. Hierdie studie fokus hoofsaaklik op witmielies. Die prys van mielies word beïnvloed deur veranderinge in die vraag daarna en aanbod daarvan. Faktore wat die vraag en aanbod van mielies beïnvloed is, onder andere, oesskattings, reënval, die wisselkoers en die pryse van mielies op die buitelandse mark, veral die markte in die VSA. In Suid-Afrika vorm die invoerpariteit en uitvoerpariteit 'n band waarbinne die prys van mielies varieer. Die doel van hierdie studie is om 'n regressievergelyking te konstrueer ten einde prys van die witmielietermynkontrakte te verklaar. Die regressie-analise word deur middel van 'n foutherstellende model met outoregressiewe foutterme behartig. Die regressie-analise slaag daarin om die prys van witmielietermynkontrakte te verklaar. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2004.

Using seventeen years of data from 1991 to 2008, I derive a pricing model for farmland values. This valuation model is the first using agricultural commodity futures as a proxy for “ex ante” income projections for the crops grown or livestock grazed on United States farmland. While not all inclusive, the model is tested regionally including the Corn Belt, Delta States, Lake States, Mountain, Pacific Northwest, Pacific West and Southeast Regions. Additionally, I test whether interest rate futures contracts have a relationship with farmland values as interest rates have been proven to be a reliable predictor in past research. Farmland capitalization rates and anticipated inflation have hypothesized relationships, but are mainly used as control variables in the study. In general, agricultural commodity futures contracts are a poor predictor of changes in farmland market values. When examining relationships with quarterly percentage change regression models of the included variables, I find the Mountain region provides the most reliable pricing model where both live cattle and Minnesota wheat futures contracts has a positive statistically significant relationships with farmland market values. Also, wheat futures prices have a significant relationship with farmland values in the Corn Belt region. Interest rate futures contracts, farmland capitalization rates and anticipated inflation are not statistically significant in the majority of the regions. As a robustness check, I model the price levels of the variables using Johansen’s cointegration procedure. This time-series econometric methodology provides results in regards to long-run equilibrium relationships between the variables. The results are only slightly better. Corn, orange juice and sugar futures contracts have positive statistically significant relationships with farmland market values in multiple regions. Again, wheat has a statistically significant positive relationship with farmland values in the Corn Belt region. The Mountain region and interest rate futures contracts are not applicable for the cointegration tests as they are not integrated to the order of one.

The purpose of this thesis is to investigate how Western Canadian wheat producers’ make their marketing decisions. In Canada, wheat, durum wheat, and barley produced for human consumption and export are marketed through the Canadian Wheat Board (CWB), which offers several marketing contracts providing distinct combinations of risk, return, and cash flow. Pool pricing is the default alternative in which the CWB markets grain for producers, while Producer Payment Options (PPOs) represent instruments producers can use to price their wheat outside the pool. Results suggest that generally producers are not able to identify profit opportunities with PPOs, but active marketing strategies tend to generate better performance compared to passive strategies. Further, producers do not seem to repeat the same strategy every year and are influenced by previous performance when choosing their current marketing strategy. Finally, producers seem to follow price signals in choosing marketing contracts, indicating they track market movements and respond to the incentive of locking in higher prices.

Uncertainty is a norm in business decisions. In this research, we focus on the inventory decisions for companies with uncertain customer demands. We first investigate forward buying strategies for single stage inventory decisions. The situation is common in commodity industry where prices often fluctuate significantly from one purchasing opportunity to the next and demands are random. We propose a combined heuristic to determine the optimal number of future periods a firm should purchase at each ordering opportunity in order to maximize total expected profit when there is uncertainty in future demand and future buying price. Second, we study the complexities of bundling of products in an Assemble-To-Order (ATO) environment. We outline a salvage manipulator mechanism that coordinates the decentralized supply chain. Third, we extend our salvage manipulator mechanism to a two stage supply chain with a long cumulative lead time. With significant lead times, the assumption that the suppliers all see the same demand distribution as the retailer cannot be used.

Thesis (MBusiness-Research)--University of South Australia, 2001.

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.