Research and publications
Weathering the Storm in Commodity Risk Premia Strategies
A 2018 Financial Times article described how commodity risk premia strategies had caused a “boom in trading volumes on exchanges” with estimates of $60 to $80 billion eventually going into thes ...
Author(s):
Hilary Till
Summary:
A 2018 Financial Times article described how commodity risk premia strategies had caused a “boom in trading volumes on exchanges” with estimates of $60 to $80 billion eventually going into these types of strategies (Meyer, 2018). With “risk premia strategies[,] investors systematically place bets based on so-called factors such as momentum, volatility and the pattern of prices for future delivery,” explained Meyer (2018).
In this article, we describe risk premia strategies more broadly and note how commodity risk premia strategies are an extension of ideas that were originally from the equity markets. We will then cover a number of techniques which attempt to minimize the inevitable losses that can arise from such strategies. Lastly, we conclude with several hypotheses on why a number of commodity risk premia strategies have historically earned high average returns.
Register to download PDF
Register/Log in| Type : | Working paper |
|---|---|
| Date : | 15/05/2019 |
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.
