Research and publications
Factor-Based Commodity Investing
A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used c ...
Author(s):
Athanasios Sakkas, Nikolaos Tessaromatis
Summary:
A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios improves the return to risk trade-off of unmanaged commodity portfolios. In contrast, dynamic commodities strategies based on commodity return prediction models provide little value added once variance timing has been applied to commodity portfolios.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 01/01/2018 |
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
