Weathering the Storm in Commodity Risk Premia Strategies

9 Pages Posted: 12 Jun 2019

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: May 16, 2019

Abstract

This article provides a brief introduction to risk premia strategies and notes how commodity risk premia strategies are an extension of ideas that were originally developed for the equity markets. The paper considers how to manage the risks of these strategies and discusses the importance of a modicum of fundamental analysis. The article further covers the active management of risk premia strategies and includes a number of techniques that attempt to minimize the inevitable losses that can arise from such strategies. The paper concludes with providing several hypotheses, based on recent academic research, on why a number of commodity risk premia strategies have historically earned high average returns.

Keywords: Commodity futures, risk premia, factor investing, momentum, carry, basis- momentum, negative skewnesss

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Weathering the Storm in Commodity Risk Premia Strategies (May 16, 2019). Available at SSRN: https://ssrn.com/abstract=3394922 or http://dx.doi.org/10.2139/ssrn.3394922

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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