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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. Regarding risk diversification and inflation hedging properties, the enhanced indices are as effective tools for strategic asset allocation as the traditional ones.

Author(s):

Ana-Maria Fuertes, Joëlle Miffre, Georgio Rallis

Summary:

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. Regarding risk diversification and inflation hedging properties, the enhanced indices are as effective tools for strategic asset allocation as the traditional ones.

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Type : Working paper
Date : 13/07/2010
Keywords :

Commodities