Factor based commodity investing

Athanasios Sakkas and Nikolaos Tessaromatis

Journal of Banking & Finance, 2020, vol. 115, issue C

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.

Keywords: Commodities; Factor premia; Momentum; Basis; Basis-Momentum; Variance timing; Commodity return predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300741

DOI: 10.1016/j.jbankfin.2020.105807

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