New related paper to #21 – Momentum Effect in Commodities and #22 – Term Structure Effect in Commodities
#21 – Momentum Effect in Commodities
#22 – Term Structure Effect in Commodities
Authors: Benham, Walsh, Obregon
Title: Evaluating Commodity Exposure Opportunities
Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2602885
Abstract:
Commodities as an asset class have been in growing demand over the last 40 years, as investors that have traditionally held portfolios of stocks and bonds seek the ‘equity-like’ returns along with diversification potential and inflation hedging characteristics available through commodities investment. However, perhaps due to their relative complexity and the large remaining disagreements in the current literature about the fundamental drivers of commodities returns, investors do not universally agree on the merits of commodity investments. This paper begins by reviewing the existing theories and fundamental drivers of returns from commodity investments to better understand the risks that commodity investors are compensated for bearing. From this perspective we will evaluate existing methods of commodity investing with a focus on why the risk premia these strategies capture are likely to persist in the future.
Notable quotations from the academic research paper:
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