This thesis explores the application of Markowitz' Modern Portfolio Theory onto 220 years of financial returns for 13 metals and 21 poly-metallic ore types. The interdisciplinary research shows that poly-metallic ores can be described as naturally occurring portfolios that were diversified by natural geological processes. Safest and optimal portfolios for metals and ores can be computed for different time horizons using portfolio optimization algorithms. Results for optimized ore portfolios are thereby subject to geological constraints. The study revealed that commodity cycles last between six and twenty years and exhibit clockwise and counterclockwise motions in the risk-return framework. The cycle length differences for clockwise cycles are statistically significant and thus specific to all investigated metals and ores. By incorporating novel cycle parameters into decision making tools it is suggested that current industry decisions for resource development can be improved. Insights into the performance of metals and ores through the industrial cycles, as well as into the frequency of profitable super cycles can assist Metals & Mining executives in strategic planning and investment.:Introduction 1
Data 3
Metals & ore types studied 5
2.1 Metals.......................................... 5
2.2 Ore types ........................................ 5
2.3 Prices .......................................... 10
2.4 Summary ........................................ 12
II Analysis 13
3 Modern Portfolio Theory 15
3.1 Overview ........................................ 15
3.2 Definitions........................................ 15
3.3 Assumptions ...................................... 17
3.4 Discussion & Conclusion................................ 18
4 Poly-metallic ores as natural portfolios 19
4.1 Objectives........................................ 19
4.2 Results.......................................... 19
4.3 Summary & Discussion................................. 24
4.4 Conclusion ....................................... 25
5 Static portfolio optimization 27
5.1 Objectives........................................ 27
5.2 Assumptions ...................................... 27
5.3 Results.......................................... 27
5.4 Summary & Discussion................................. 31
5.5 Conclusion ....................................... 32
6 Dynamic portfolio optimization 33
6.1 Assumptions ...................................... 33
6.2 Results.......................................... 34
6.3 Summary & Discussion................................. 44
6.4 Conclusion ....................................... 45
7 Commodity cycles & metal assets 47
7.1 Commodity cycles ................................... 47
7.2 Commodity cycle observations ............................ 54
7.3 Summary ........................................ 76
7.4 Discussion........................................ 77
7.5 Conclusion ....................................... 78
III Application 81
8 Commodity cycles & resource development strategies 83
8.1 The timing of mine development and mining start-up................ 83
8.2 Lead times from discovery to operation........................ 88
8.3 Exploration....................................... 89
8.4 Project valuation considerations............................ 91
8.5 Summary & Discussion................................. 92
8.6 Conclusion ....................................... 93
9 Industrial cycles & modern history 95
9.1 The Metal Markets Indicator-MMI ......................... 95
9.2 The Metal Markets Indicator & the economy .................... 97
9.3 The MMI & military conflict ............................. 105
9.4 MMI cyclicality..................................... 115
9.5 Summary & Discussion................................. 122
9.6 Conclusion ....................................... 123
10 Industrial cycles & metal performance 125
10.1 Methodology ...................................... 125
10.2 Metal performance during technological epochs ................ 126
10.3 Discussion........................................ 133
10.4 Conclusion ....................................... 137
11 Industrial cycles & ore type preferences 139
11.1 Coal Age ........................................ 139
11.2 Oil Age ......................................... 142
11.3 Atomic Age....................................... 144
11.4 Discussion........................................ 146
11.5 Conclusion ....................................... 150
12 Industrial cycles & ore provinces 151
12.1 Ore genetic models and industrial cycles....................... 151
12.2 Ore geology and geography .............................. 154
12.3 Ore provenances and mining technology ....................... 156
12.4 Discussion........................................ 157
12.5 Conclusion ....................................... 157
13 The state and future of the M&M Industry 159
13.1 The current state.................................... 159
13.2 The dawn of a new Industrial Age .......................... 163
13.3 The future........................................ 164
13.4 Summary & Discussion................................. 167
13.5 Conclusion ....................................... 168
14 Summary 169
15 Conclusion 171
IV Appendix 173
Bibliography 233
Index 245
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:70992 |
| Date | 14 July 2020 |
| Creators | Pfeifer, Jan |
| Contributors | Schaeben, Helmut, Bongaerts, Jan C., Weber, Leopold, TU Bergakademie Freiberg |
| Source Sets | Hochschulschriftenserver (HSSS) der SLUB Dresden |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, doc-type:doctoralThesis, info:eu-repo/semantics/doctoralThesis, doc-type:Text |
| Rights | info:eu-repo/semantics/openAccess |
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