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.

Pdf
Factor-Based Commodity Investing...
(-1.00 B)
Type: Working paper
Date: le 14/01/2018
Research Cluster : Finance

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