Comparing First, Second and Third Generation Commodity Indices

Joëlle Miffre: The rising interest of institutional investors for commodities since the early 2000s prompted remarkable financial engineering in the commodity index space which is now in its third generation.

Author(s) :

Joelle Miffre

Professor of Finance, EDHEC Business School

The purpose of this article is to review this evolution and to give an assessment of index performance. Long-only second generation indices, which attempt to minimize the harmful impact of contango on performance and use active long-only signals based on momentum or roll-yields, are found to outperform their first generation counterparts. Third generation indices fare even better as they accurately buy backwardated assets and short contangoed ones, thereby reducing overall volatility. We see these indices as serious contenders to commodity trading advisors who merely replicate strategies based on momentum or term structure.
Pdf
Comparing First, Second and Third Generation Commodity Indices...
(-1.00 B)
Type : Working paper
Date : le 23/11/2012
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

Actualités
- 10-12-2017
    A very high-level programme offering unique learning experiences Four partners at the forefront of innovation in their fields of expertise   Press Release   Lille...
FT European Business School rankings 2017: EDHEC cements its position among the top 15
Actualités
- 04-12-2017
EDHEC Business School has consolidated its standing among the top 15 business schools...
QS Ranking 2018: EDHEC Global MBA among best programmes in Europe and worldwide
Actualités
- 28-11-2017
EDHEC Global MBA ranked as the 15th MBA in Europe and 29th MBA in the world : the...
Dean of Sungkyunkwan Graduate School of Business visits EDHEC Business School
Actualités
- 27-11-2017
Dean of SKK GSB visits EDHEC Business School in the framework of strategic agreement...