Sumários
Lecture 6: Real Estate Investments I
29 Setembro 2025, 12:00 • Haoxu Wang
This lecture is the first lecture for the topic “Real Estate Investments", which is focused on private market commercial real estate (CRE) investments for institutional investors. The lecture was on two primary subtopics: 1) Overview of Real Estate and 2) Capital Stack and Financing Options for Real Estate, while the planned subtopic of Private Market Investment Vehicles will be moved to the next session.
The lecture began with a broad introduction to real estate investments to help students understand the topic from the perspectives of both real estate project managers (developers) and investors. I explained how the financing decisions of real estate developers are directly related to different real estate investment opportunities. Following that, I introduced a framework for distinguishing real estate, explained the advantages and disadvantages of including CRE in an institutional portfolio, and discussed the three real estate investment styles. Their definitions, characteristics, key attributes, and related portfolio styles were examined, along with the purposes of style analysis.
Regarding the second subtopic, I explained why understanding the capital stack is critical for institutional investors in private market CRE. I then introduced and compared different types of commercial mortgages and alternative financing methods, and outlined their advantages and disadvantages.
Make-Up Session Summary (Coming Soon)
24 Setembro 2025, 08:00 • Haoxu Wang
This lecture was cancelled due to my sickness. A summary of the make-up session will be provided here once it takes place.
Lecture 5: Introduction to Commodities and Commoditity Derivatives III
22 Setembro 2025, 12:00 • Haoxu Wang
This lecture, the final session on the topic: “Introduction to Commodities and Commodity Derivatives”, began with a detailed discussion of roll returns and rollover strategies with focus on i) three key propositions regarding (basis-change-related) roll returns, ii) the interrelationships among roll return, the basis, and carrying costs, as well as iii) whether and how roll returns and roll strategies can be linked to the existence of alphas (i.e., superior or abnormal returns).
The lecture then introduced two important concepts in commodity futures and forwards: normal backwardation and normal contango, along with Keynes’s reasoning for the typical existence of normal backwardation. It then explained why commodities generally have low correlation with stocks and bonds, and the implications for commodities as diversifiers in both perfect (or CAPM) and imperfect markets. The usefulness of commodities as a hedge against inflation risk was also mentioned.
The next section focused on expected returns and risks of commodities, covering both empirical and theoretical evidence on expected returns through physical inventories. It was also pointed out that expected commodity futures returns are not necessarily relevant to expected spot returns. Following this, the lecture described four favorable characteristics of commodities with respect to event risks, potential sources of commodity price volatility, and why commodities can help reduce downside risk.
The second-to-last part of the lecture examined the construction, uses, and defining characteristics of commodity futures indices, with a brief introduction to three major indices in practice. The lecture concluded with a review and discussion of the historical performance of commodities (i.e., S&P GSCI index returns).
The next lecture will begin a new topic: Real Estate Investments.
Lecture 4: Introduction to Commodities and Commodity Derivatives II
17 Setembro 2025, 08:00 • Haoxu Wang
This lecture is the second out of three in the topic: “Introduction to Commodities and Commodity Derivatives.”
The lecture began with a discussion of the difference between futures and forward contracts, with a focus on marking-to-market. A numerical example was used to show how initial and maintenance margins are applied and when a margin call is triggered.
It then explained the pricing mechanisms of forward contracts on commodities under no-arbitrage conditions and discussed why the cost-of-carry model for commodities differs from that for financial assets. The term structure of commodity forward prices was introduced next, followed by an explanation of the basis measure and the calendar spread strategy. The lecture concluded with a discussion on how to maintain long-term exposure to a commodity through futures rolling, the two definitions of roll returns and components of futures returns.
Note that some measures, concepts, and strategies covered in this lecture will be revisited and explored in greater depth in the final lecture of this topic.
Lecture 3: Introduction to Alternative Investments and Investing in Commodities without Futures or Forwards
15 Setembro 2025, 12:00 • Haoxu Wang
I began the lecture with a numerical example about the differences between a soft hurdle rate and a hard hurdle rate for limited partnership agreements. Following that, I discussed financial economics foundations related to alternative investments, including market efficiency and its investment implications, arbitrage, and the sampling and testing problems associated with alternative investments.
Next, I introduced commonly used risk and performance measures (mainly applied in hedge fund strategies), with a focus on the intuition behind each formula and their interrelationships. The topic of “Introduction to Alternative Investments” concluded with a brief discussion on beta, alpha, and hypothesis testing. Here, I highlighted what beta and alpha of an asset really capture and why they are critical for performance evaluation.
I then moved on to the next topic of the course, “Introduction to Commodities and Commodity Derivatives.” I first discussed how to invest in commodities (obtain commodity exposure) without using forwards or futures. The approaches covered include physical ownership, purchasing shares of commodity-related firms, commodity-linked exchange-traded funds and notes, and commodity-linked notes. The advantages and disadvantages of each approach were also discussed.
Due to time constraints, I was unable to cover the planned topics on the differences between forwards and futures and the pricing mechanism of commodity forwards. I will begin with these in the next lecture.