Commodities - Active Strategies for Enhanced Return

In this article, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation.

Author(s) :

Hilary Till

Co-founder of Premia Capital Management, LLCResearch Associate with the EDHEC Risk and Asset Management Research Centre

Joseph Eagleye

Co-founder of Premia Capital Management, LLC

But we also emphasize the due care that must be taken in risk management and implementation discipline, given the violence of the fluctuations which normally affect the prices of many ... commodities, as Keynes (1934) put it. We take it as a given that prudent investors should include commodities in their overall asset allocation mix. As Greer of Pimco (2005) has noted, the benefits of commodity indexes include positive correlation to inflation as well as positive correlation to changes in the rate of inflation. Commodity indexes can also potentially perform well during a number of adverse economic surprises that are harmful to investments in stocks and bonds.
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Commodities - Active Strategies for Enhanced Return...
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Type : Academic publication
Date : le 07/11/2005
Extra information : Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

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