Research and publications
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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Register/Log in| Type : | Working paper |
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| Date : | 13/07/2010 |
| Keywords : |
Commodities |
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