Abstract

http://ssrn.com/abstract=2265901
 
 

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Strategic Allocation to Commodity Factor Premiums


David Blitz


Robeco Asset Management - Quantitative Strategies

Wilma De Groot


Robeco Asset Management

May 16, 2013


Abstract:     
In this study we confirm the existence of sizable momentum, carry and low-volatility factor premiums in the commodity market, and argue that investors should consider these commodity factor premiums when determining their strategic asset allocation. We find that diversified portfolios of commodity factor premiums exhibits a significantly better risk-adjusted performance than the commodity market portfolio and adds significant value to a conventional stock/bond portfolio. The traditional commodity market portfolio, on the other hand, appears to deserve little or no role at all in the strategic asset mix. Investors should therefore not postpone the consideration of alternative commodity factor premiums to a later stage of the investment process.

Number of Pages in PDF File: 26

Keywords: commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

JEL Classification: G12, G13, E44, Q11, Q41, Q14

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Date posted: May 17, 2013 ; Last revised: May 27, 2014

Suggested Citation

Blitz, David and de Groot, Wilma, Strategic Allocation to Commodity Factor Premiums (May 16, 2013). Available at SSRN: http://ssrn.com/abstract=2265901 or http://dx.doi.org/10.2139/ssrn.2265901

Contact Information

David Blitz
Robeco Asset Management - Quantitative Strategies ( email )
Coolsingel 120
Rotterdam, 3011 AG
Netherlands
Wilma De Groot (Contact Author)
Robeco Asset Management ( email )
Rotterdam, 3011 AG
Netherlands
+31 10 224 3107 (Phone)
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