Journal of Banking & Finance Vol. 115 2020
Factor based commodity investing
open access
Abstract
A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios generates timing gains for the commodity momentum factor but not the other commodity factors. Dynamic commodities strategies based on commodity factor return prediction models provide little value added.
- DOI
- 10.1016/j.jbankfin.2020.105807
- Volume
- 115
- Pages
- 105807
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex