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A Rule-Based Commodity Index

Journal of Investment Management (JOIM), Third Quarter 2014

Posted: 16 Nov 2014

See all articles by John M. Mulvey

John M. Mulvey

Princeton University - Bendheim Center for Finance

Date Written: October 14, 2014

Abstract

A commodity index is designed as an equal-weighted set of four complementary tactics. The resulting portfolio takes advantage of well-established patterns in commodity markets, including high volatility and the relative independence of the return drivers. These conditions are ideal for achieving rebalancing gains and thusly for improving risk-adjusted performance. Index performance is compared with long commodity indexes and commodity hedge funds. The benefits of an overlay strategy is shown vis-à-vis a traditional stock/bond portfolio.

Keywords: Commodity index, hedge fund replication, overlay strategies, rebalancing gains, portfolio of tactics

JEL Classification: G00

Suggested Citation

Mulvey, John M., A Rule-Based Commodity Index (October 14, 2014). Journal of Investment Management (JOIM), Third Quarter 2014, Available at SSRN: https://ssrn.com/abstract=2510158

John M. Mulvey (Contact Author)

Princeton University - Bendheim Center for Finance ( email )

26 Prospect Avenue
Princeton, NJ 08540
United States

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