Taking Full Advantage of the Statistical Properties of Commodity Investments

Hilary Till: Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a portfolio invested mainly in financial assets.

Author(s):

Hilary Till

Research Associate, EDHEC-Risk InstitutePrincipal, Premia Capital Management, LLC

It is perhaps less well known that individual commodity strategies can be so uncorrelated that they can significantly dampen the risk of a commodity-only portfolio. In this article we discuss how an investor can take full take advantage of the unique statistical properties of this asset class.

Type: Working paper
Date: le 03/06/2013
Research Cluster : Finance

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