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Journal Articles Journal of Commodity Markets Year : 2022

The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures

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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.
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Dates and versions

hal-03881976 , version 1 (02-12-2022)

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  • HAL Id : hal-03881976 , version 1

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Hossein Rad, Rand Kwong Yew Low, Joelle Miffre, Robert Faff. The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures. Journal of Commodity Markets, 2022, 28, pp.100259. ⟨hal-03881976⟩

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