EconPapers    
Economics at your fingertips  
 

Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?

Hossein Rad, Rand Low, Joelle Miffre () and Robert Faff
Additional contact information
Joelle Miffre: Audencia Business School

Post-Print from HAL

Abstract: The article develops a long-short portfolio construction technique that captures the fundamentals of backwardation and contango present in commodity futures markets and simultaneously deviates from the equal-weighting scheme traditionally employed in the literature. The sophisticated weighting schemes based on risk minimization and risk timing are found to dominate the traditional naive allocation and the schemes based on utility maximization. The conclusion applies to both momentum and term structure portfolios and persists after accounting for transaction costs, lack of liquidity, various model specifications, and different sub-periods.

Keywords: optimized weights; risk-timing weights; long-short portfolios; equal weights (search for similar items in EconPapers)
Date: 2020-06-12
New Economics Papers: this item is included in nep-upt
Note: View the original document on HAL open archive server: https://hal-audencia.archives-ouvertes.fr/hal-02868473
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Journal of Empirical Finance, Elsevier, 2020, ⟨10.1016/j.jempfin.2020.05.006⟩

Downloads: (external link)
https://hal-audencia.archives-ouvertes.fr/hal-02868473/document (application/pdf)

Related works:
Journal Article: Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios? (2020) Downloads
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:hal:journl:hal-02868473

DOI: 10.1016/j.jempfin.2020.05.006

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-10-19
Handle: RePEc:hal:journl:hal-02868473