Research and publications

Factor-Based Commodity Investing

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used c ...

Author(s) :

Athanasios Sakkas, Nikolaos Tessaromatis

Summary :

A multi-factor commodity portfolio combining the high momentum, low basis and high basismomentum commodity factor portfolios significantly, economically and statistically outperforms, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios improves the return to risk trade-off of unmanaged commodity portfolios. In contrast, dynamic commodities strategies based on commodity return prediction models provide little value added once variance timing has been applied to commodity portfolios.

Type : Working paper
Date : 01/01/2018