Extracting Strategic Benefits from a Commodities Allocation
May 30, 2013 - Commodity Futures, Momentum Investing, Value Premium, Volatility Effects
Can commodities still be useful for portfolio diversification, despite their recent poor aggregate return, high volatility and elevated return correlations with other asset classes? In the May 2013 version of their paper entitled “Strategic Allocation to Commodity Factor Premiums”, David Blitz and Wilma de Groot examine the performance and diversification power of the commodity market portfolio… Keep Reading