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Factor based commodity investing
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DOI：10.1016/j.jbankfin.2020.105807.png)
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Abstract
En 中文
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. (C) 2020 Elsevier B.V. All rights reserved.
Keywords:
Commodities
Factor premia
Momentum
Basis
Basis-Momentum
Variance timing
Commodity return predictability
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