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Commodities are an important alternative asset class that has attracted interest from institutional investors for its potential to bring diversification with respect to equities and bonds in a policy portfolio and to hedge inflation risk. They encompass a large variety of products, ranging from energy sources (oil, gas, etc.) to precious or industrial metals (gold, platinum, copper, aluminium,etc.), raw food and agriculture products (corn, sugar, coffee, cotton, rubber, etc.) and livestock. Organized commodity markets have been around a long time, and the first standardized futures contracts, which are the ancestors of modern derivative products, were written on commodities.

In financial markets, commodities are typically invested through futures contracts, as opposed to being physically purchased. This has implications for performance analysis since portfolio returns are impacted by the slope of the term structure of futures prices, in addition to capturing changes in the spot price of the underlying physical asset: roll returns are positive for a downward-sloping term structure and negative for an upward sloping one.

EDHEC-Risk Institute has been doing research on commodity investing as part of its broader research programme on factor investing, with the aim of identifying robust and economically justified sources of performance that can be exploited in passive strategies. Beyond term structure effects, there are hedging pressure effects, related to backwardation and contango, and momentum effects similar to those encountered in equities. It also appears that there is room for factor-timing strategies that take advantage of predictability patterns.

EDHEC-Risk Institute benefits from the continued expertise of its research associate Hilary Till, co-founder and principal of Premia Capital, a proprietary investment and research firm focused on the natural resources futures markets. She is the co-editor of Intelligent Commodity Investing, a bestseller for Risk Books.


Factor based commodity investing

2020

Athanasios Sakkas, NikolaosTessaromatis


Inferring Petroleum-Complex Fundamentals

2018

Hilary Till , Joseph Eagleeye


Factor-Based Commodity Investing

2018

Athanasios Sakkas, Nikolaos Tessaromatis


Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

2017

Adrian Fernandez-Perez,, Ana-Maria Fuertes, Joelle Miffre


Commodity Risk Management

2016

Hilary Till


Is idiosyncratic volatility priced in commodity futures markets?

2016

Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre


Skewness Strategies in Commodity Futures Markets

2015

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre


Commodities as Lotteries: Skewness and the Returns of Commodity Futures

2015

Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre


Commodity Markets, Long-Run Predictability and Intertemporal Pricing

2015

Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre


Commodity Risks and the Cross-Section of Equity Returns

2015

Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji


The Case for Long-Short Commodity Investing

2015

Joelle Miffre, Adrian Fernandez-Perez


Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

2013

Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez


Optimal Hedging With Higher Moments

2013

Chris Brooks, Aleš Cerný, Joëlle Miffre


Commodity Futures Returns and Idiosyncratic Volatility

2012

Joëlle Miffre, Ana-Maria Fuertes, Adrian Fernandez-Perez


Strategic and Tactical Roles of Enhanced-Commodity Indices

2010

Ana-Maria Fuertes, Joëlle Miffre, Georgio Rallis


Timing Commodity Momentum

2008

Devraj Basu, Joëlle Miffre


Oil Prices: the True Role of Speculation

2008

Noël Amenc, Benoît Maffei, Hilary Till


Momentum Strategies in Commodity Futures Markets

2007

Joëlle Miffre, Georgios Rallis


The Risks of Commodity Investing

2006

Hilary Till and Joseph Eagleeye


Commodities – Active Strategies for Enhanced Return

2005

Hilary Till, Joseph Eagleeye


Challenges in Commodities Risk Management

2005

Hilary Till, Joseph Eagleeye


Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

2003

John M. Mulvey, Shiv Siddhant N. Kaul, Koray D. Simsek

This programme has benefited as part of strategic research projects from the support of CME Group on “Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation”.