Strategic and Tactical Roles of Enhanced-Commodity Indices

This article compares the risk and performance of two traditional commodity indices with enhanced long-only versions that exploit signals based on momentum, term structure and the time-to-maturity of the contracts.

Author(s):

Ana-Maria Fuertes

Professor of Financial Econometrics, Cass Business School

Joelle Miffre

Associate Professor of Finance, EDHEC Business School

Georgio Rallis

Research Fellow, Cass Business School

Regarding risk diversification and inflation hedging properties, the enhanced indices are as effective tools for strategic asset allocation as the traditional ones. In addition, with alphas ranging from 0.49% to 6.18% a year, the enhanced indices improve upon the performance of their traditional counterparts, both statistically and economically, suggesting that they can also be utilized for tactical asset allocation. Among those considered, the leading enhanced index targets maturities far away from the present.

Type: Working paper
Date: le 13/07/2010
Research Cluster : Finance

See Also

17 NEW STARTUPS JOIN THE EDHEC ENTREPRENEURS ADVENTURE
News
- 25-01-2022
2022 looks promising! EDHEC Entrepreneurs and its team are very pleased to welcome 17...
Climate change: a new type of risk for the financial industry?
News
- 25-01-2022
Climate change has been recognized as a new type of risk for finance by academics and...
Meet a student: the power of EDHEC’s Alumni network
News
- 25-01-2022
Junjie Feng joined EDHEC’s Master in Management-Business Management in 2019. He will...
The fight against climate change central to the EDHEC-Coursera specialisation
News
- 21-01-2022
EDHEC Business School launched the “Climate Change and Sustainable Investing”...