Research and publications
Factor based commodity investing
Journal of Banking & Finance, Volume 115, June 2020
A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commo ...
Author(s):
Athanasios Sakkas, NikolaosTessaromatis
Summary:
Journal of Banking & Finance, Volume 115, June 2020
A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios generates timing gains for the commodity momentum factor but not the other commodity factors. Dynamic commodities strategies based on commodity factor return prediction models provide little value added.
Register to download PDF
Register/Log in| Type : | Academic Publication |
|---|---|
| Date : | 19/06/2020 |
| Keywords : |
Commodities, Factor premia, Momentum, Basis, Basis-Momentum, Variance timing, Commodity return predictability |
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.
