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.

Auteur(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
Pôle de recherche Finance

A voir également

Bel succès pour le Raid EDHEC
Actualités
- 14-06-2019
Organisée par l'association étudiante Raid EDHEC, la 26ème édition du Raid EDHEC s'est...
Partenariat entre LegalEDHEC et Queen’s Law-Cornell
Actualités
- 12-06-2019
Le Centre de recherche LegalEDHEC (France) et Queen’s Law-Cornell’s Conflict Analytics...
Une étudiante de l'EDHEC au Women's Forum for the Economy & Society
Actualités
- 11-06-2019
Le 30 et 31 mai derniers, notre étudiante BBA Laura DUGARDIN s’est rendue à Mexico City...
Comment financer ma formation ? Les 5 réflexes essentiels
Actualités
- 07-06-2019
Vous avez un projet de formation mais ne savez pas encore comment le financer ? Alors...