This study presents the possibilities of the use of commodity futures cycles in the management of university endowment portfolios. The literature review presents a discussion concerning the roles of various cycles in research, and delineates the scope of commodity spreads and their use in managing educational endowment portfolios. / Cycle analysis was used in this study to examine the data. The daily closing prices of five selected commodities covering time periods of about one to five years comprised the data. A computer program was used to calculate the differences (spreads) between the closing prices of the various commodities. / The computer programs, the Statistical Analysis System (SAS), was used for spectral analysis to investigate the presence of cycles in the data for the various spreads. The significance of the results was tested using the SAS Spectra Whitetest option which gives a printed output of Fisher's Kappa statistic and the Bartlett Komolgorov-Smirnov (K-S) test statistic. / The analysis yielded cyclical effects at each of three time frames: a 261.0-day cycle and a 163.12-day cycle in the long-term spreads; a 156.6-day cycle in the intermediate-term spreads; and, a 52.2-day cycle in the short-term spreads. Although the analysis produced useful information as to the relative strength of the periodic effects for various cycles, the exact turning point for a given cycle could not be precisely determined. / It was concluded that a manager or investor familiar with the spread cycles could incorporate information derived from cycle analysis into portfolio management techniques and trading strategies. / Source: Dissertation Abstracts International, Volume: 50-11, Section: A, page: 3436. / Major Professor: Frank W. Banghart. / Thesis (Ph.D.)--The Florida State University, 1989.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_78100 |
| Contributors | Ramsey, Jimmy Floyd., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 194 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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