Research and publications
Taking Full Advantage of the Statistical Properties of Commodity Investments
Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a portfolio invested mainly in financial assets. It is perhaps less well known that individual commodity strategies can be so uncorrelated that they can significantly dampen the risk of a commodity-only portfolio. In this article we discuss how an investor can take full advantage of the unique statistical properties of this asset class. A revisited version of this paper was published in the Summer 2001 issue of the Journal of Alternative Investments.
Author(s):
Hilary Till
Summary:
Academic and practitioner research has documented that commodities yield important risk-reduction benefits for a portfolio invested mainly in financial assets. It is perhaps less well known that individual commodity strategies can be so uncorrelated that they can significantly dampen the risk of a commodity-only portfolio. In this article we discuss how an investor can take full advantage of the unique statistical properties of this asset class. A revisited version of this paper was published in the Summer 2001 issue of the Journal of Alternative Investments.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 06/03/2013 |
| Keywords : |
Commodities |
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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.
