Sumários
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.
Lecture 2: Introduction to Alternative Investments II
10 Setembro 2025, 08:00 • HAOXU WANG
In today’s lecture, I introduced key foundational knowledge in alternative investments that will support students’ understanding of more advanced topics later in the course. The session began with the quantitative foundations, focusing on different methods of return computation, with particular emphasis on the internal rate of return (IRR), a commonly used measure in the context of alternative investments. Quantitative examples were used to illustrate the return computation formulas and to highlight the limitations of the IRR approach.
The lecture then covered the compensation schemes of limited partnerships, using numerical examples to illustrate how cash waterfalls are distributed under specific agreements. The session concluded with an overview of statistical measures commonly used in investments and their relevance to alternative investments.
Due to time constraints, the planned content on financial economics foundations, risk and performance measures for hedge fund strategies, and an overview of alpha, beta, and hypothesis testing was not covered. The next lecture will begin with the remaining Week 1 content before moving into the planned topic for Week 2.
Lecture 1: Key Course Infromation and Introduction to Alternative Investments I
8 Setembro 2025, 12:00 • HAOXU WANG
In today’s lecture, I started with key course information based on the course syllabus. After that, I provided an introduction to alternative investments. I first discussed what is an alternative investment and gave a brief introduction to each alternative investment category under the CAIA framework. I then discussed how to distinguish between traditional and alternative investments and the essential goal of alternative investing.
Next, I moved on to the topic of the environment of alternative investments, including participants, legal structures, and key features of fund structures. Finally, I discussed accessing alternative investments, covering the characteristics of different fund structures including 1) open-end/evergreen and 2) closed-end/drawdown/PE-style funds as well as the differences between hedge funds and private equity in terms of fees, the key concepts of co-investing, and the performance of co-investing.
Reflection:
- I may have covered too much content in one session, and the slides had too many words, which may distract students.
- Two students suggested that I need to speak louder.
- In future lectures, I need to focus on improving student engagement by incorporating more interactive elements that actively encourage participation.