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.
Professor of Financial Econometrics, Cass Business School
Associate Professor of Finance, EDHEC Business School
Research Fellow, Cass Business School
|Type :||Working paper|
|Date :||le 13/07/2010|
|Complément d'informations||For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ email@example.com ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.|
|Pôle de recherche||Finance|