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Commodities are an important alternative asset class that has attracted interest from institutional investors for its potential to bring diversification with respect to equities and bonds in a policy portfolio and to hedge inflation risk. They encompass a large variety of products, ranging from energy sources (oil, gas, etc.) to precious or industrial metals (gold, platinum, copper, aluminium,etc.), raw food and agriculture products (corn, sugar, coffee, cotton, rubber, etc.) and livestock. Organized commodity markets have been around a long time, and the first standardized futures contracts, which are the ancestors of modern derivative products, were written on commodities.

In financial markets, commodities are typically invested through futures contracts, as opposed to being physically purchased. This has implications for performance analysis since portfolio returns are impacted by the slope of the term structure of futures prices, in addition to capturing changes in the spot price of the underlying physical asset: roll returns are positive for a downward-sloping term structure and negative for an upward sloping one.

EDHEC-Risk Institute has been doing research on commodity investing as part of its broader research programme on factor investing, with the aim of identifying robust and economically justified sources of performance that can be exploited in passive strategies. Beyond term structure effects, there are hedging pressure effects, related to backwardation and contango, and momentum effects similar to those encountered in equities. It also appears that there is room for factor-timing strategies that take advantage of predictability patterns.

EDHEC-Risk Institute benefited from the continued expertise of its research associate Hilary Till, co-founder and principal of Premia Capital, a proprietary investment and research firm focused on the natural resources futures markets. She is the co-editor of Intelligent Commodity Investing, a bestseller for Risk Books.

Factor based commodity investing


Athanasios Sakkas, NikolaosTessaromatis

Inferring Petroleum-Complex Fundamentals


Hilary Till , Joseph Eagleeye

Factor-Based Commodity Investing


Athanasios Sakkas, Nikolaos Tessaromatis

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing


Adrian Fernandez-Perez,, Ana-Maria Fuertes, Joelle Miffre

Commodity Risk Management


Hilary Till

Is idiosyncratic volatility priced in commodity futures markets?


Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre

Skewness Strategies in Commodity Futures Markets


Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre

Commodities as Lotteries: Skewness and the Returns of Commodity Futures


Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre

Commodity Markets, Long-Run Predictability and Intertemporal Pricing


Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre

Commodity Risks and the Cross-Section of Equity Returns


Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji

The Case for Long-Short Commodity Investing


Joelle Miffre, Adrian Fernandez-Perez

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility


Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez

Optimal Hedging With Higher Moments


Chris Brooks, Aleš Cerný, Joëlle Miffre

Commodity Futures Returns and Idiosyncratic Volatility


Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez

Strategic and Tactical Roles of Enhanced-Commodity Indices


Ana-Maria Fuertes, Joëlle Miffre, Georgio Rallis

Timing Commodity Momentum


Devraj Basu, Joëlle Miffre

Oil Prices: the True Role of Speculation


Noël Amenc, Benoît Maffei, Hilary Till

Momentum Strategies in Commodity Futures Markets


Joëlle Miffre, Georgios Rallis

The Risks of Commodity Investing


Hilary Till and Joseph Eagleeye

Commodities – Active Strategies for Enhanced Return


Hilary Till, Joseph Eagleeye

Challenges in Commodities Risk Management


Hilary Till, Joseph Eagleeye

Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation


John M. Mulvey, Shiv Siddhant N. Kaul, Koray D. Simsek

This programme has benefited as part of strategic research projects from the support of CME Group on “Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation”.