Strategic Allocation to Commodity Factor Premiums

Posted: 27 May 2014

See all articles by David Blitz

David Blitz

Robeco Quantitative Investments

Wilma de Groot

Robeco Asset Management

Multiple version iconThere are 2 versions of this paper

Date Written: May 27, 2014


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.

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

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

Suggested Citation

Blitz, David and de Groot, Wilma, Strategic Allocation to Commodity Factor Premiums (May 27, 2014). Journal of Alternative Investments, Forthcoming, Available at SSRN:

David Blitz (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3014 DA

Wilma De Groot

Robeco Asset Management ( email )

Rotterdam, 3014 DA
+31 10 224 3107 (Phone)

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