Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios? - Audencia Accéder directement au contenu
Article Dans Une Revue Journal of Empirical Finance Année : 2020

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

Hossein Rad
  • Fonction : Auteur
Rand Low
  • Fonction : Auteur
Joelle Miffre
  • Fonction : Auteur
  • PersonId : 1026216
Robert Faff
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-02868473 , version 1 (15-06-2020)

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Hossein Rad, Rand Low, Joelle Miffre, Robert Faff. Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. Journal of Empirical Finance, 2020, ⟨10.1016/j.jempfin.2020.05.006⟩. ⟨hal-02868473⟩

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