The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures

Hossein Rad, Rand Kwong Yew Low, Joelle Miffre () and Robert Faff
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Hossein Rad: UQ [All campuses : Brisbane, Dutton Park Gatton, Herston, St Lucia and other locations] - The University of Queensland
Rand Kwong Yew Low: Bond University [Gold Coast]
Joelle Miffre: Audencia Business School

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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)
Date: 2022-12
New Economics Papers: this item is included in nep-fmk and nep-rmg
Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-03881976
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Citations: View citations in EconPapers (1)

Published in Journal of Commodity Markets, 2022, 28, pp.100259

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Journal Article: The strategic allocation to style-integrated portfolios of commodity futures (2022)
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