The strategic allocation to style-integrated portfolios of commodity futures

Hossein Rad, Rand Kwong Yew Low, Joëlle Miffre and Robert Faff

Journal of Commodity Markets, 2022, vol. 28, issue C

Abstract: Our study lies at the intersection of the literature on the diversification benefits of commodity futures and the literature on style integration. It augments the traditional asset mix of investors with a long–short portfolio that integrates the styles that matter to the pricing of commodity futures. Treating the style-integrated portfolio of commodities as part of the strategic mix of investors is found to enhance out-of-sample performance and reduce crash risk compared to the alternatives considered thus far. The conclusion holds across traditional asset mix, portfolio allocation methods, integration strategies, and sub-periods. The diversification benefits of style integration also persist, albeit lower, in a long-only setting.

Keywords: Commodity futures; Style integration; Strategic asset allocation; Diversification (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2405851322000174
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000174

DOI: 10.1016/j.jcomm.2022.100259

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().