Extending Benchmarks For Commodity Investments
نویسندگان
چکیده
Study into commodity investment has historically been an underfocused area of the financial literature. In particular, there is a need for benchmarks to evaluate commodity investment managers to measure skill. This paper seeks to extend and replicate results on the four-factor model and benchmark proposed by Blocher et al. to more recent data and to more commodities. Our findings indicate that recent data illuminates the volatility associated with time series momentum strategies.
منابع مشابه
Patterns and Trends in Sovereign Wealth Fund Investments: A Post-Crisis Descriptive Analysis
A nalyzing more than 9,400 investment transactions performed by 32 sovereign wealth funds (SWFs), from 23 countries, and targeted towards 77 countries, between 2010 and 2013, this study highlights some of the most important visible patterns and nuances in SWF investments. First, lion’s share of SWF investments are cross-border transactions that originated from and targeted towards hi...
متن کاملEffects of full collateralization in commodity futures investments
The study extends research on the impact of commodity futures investments on portfolio performance by incorporating levered futures directly into the optimization problem. Differences in portfolio performance between fully collateralized and levered futures arise primarily in the presence of investment constraints. The attractiveness of portfolios is also affected by differences in commodity in...
متن کاملPrivate sector investments to create market-supporting institutions: The case of Malawian Agricultural Commodity Exchange
متن کامل
The Disintermediation of Financial Markets: Direct Investing in Private Equity*
We examine twenty years of direct private equity investments by seven large institutions. These direct investments perform better than public market indices, especially buyout investments and those made in the 1990s. Outperformance by the direct investments, however, relative to the corresponding private equity fund benchmarks is limited and concentrated among buyout transactions. Co-investment...
متن کاملCommodity Prices, Commodity Currencies, and Global Economic Developments
In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naïve statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a larg...
متن کامل