Factor-Based Commodity Investing

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used c ...

Author(s):

Athanasios Sakkas

Assistant Professor in Finance,
Southampton Business School, University of Southampton

Nikolaos Tessaromatis

Professor of Finance,
EDHEC Business School, EDHEC-Risk Institute

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios improves the return to risk trade-off of unmanaged commodity portfolios. In contrast, dynamic commodities strategies based on commodity return prediction models provide little value added once variance timing has been applied to commodity portfolios.

Type: Working paper
Date: le 14/01/2018
Research Cluster : Finance

See Also

« The Future of Finance » : EDHEC affirms its financial-sector leadership with an inaugural series of forward-looking, academic-value-added lectures
News
- 17-01-2022
EDHEC Business School plans to host a series of monthly lectures entitled “The Future...
NEWGEN NEWJOB: THE NEW PROFESSIONAL AMBITIONS OF YOUNG GRADUATES
News
- 14-01-2022
The NewGen Talent Centre decrypts the aspirations, behaviours and abilities of new-...
Press release
- 13-01-2022
Cette nouvelle étude explore et vise à comprendre la diversité des ambitions professionnelles des jeunes générations, d’en révéler les préférences et les potentiels pour l’entreprise. Lire...
ETUDE : NEWGEN NEWJOB : LES NOUVELLES AMBITIONS PROFESSIONNELLES DES JEUNES DIPLOMéS
Publication
- 13-01-2022
Cette nouvelle étude explore et vise à comprendre la diversité des ambitions...