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Publications : Commodities - Active Strategies for Enhanced Return


Till, H.; J. Eagleeaye (Novembre 2005) "Commodities - Active Strategies for Enhanced Return", EDHEC Risk and Asset Management Research Centre, Working Paper.


Résumé

In this article, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation. But we also emphasize the due care that must be taken in risk management and implementation discipline, given the violence of the fluctuations which normally affect the prices of many ... commodities, as Keynes (1934) put it. We take it as a given that prudent investors should include commodities in their overall asset allocation mix. As Greer of Pimco (2005) has noted, the benefits of commodity indexes include positive correlation to inflation as well as positive correlation to changes in the rate of inflation. Commodity indexes can also potentially perform well during a number of adverse economic surprises that are harmful to investments in stocks and bonds.


En savoir plus

Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

EDHEC_Working_Paper_Commodities_-_Active_Strategies_for_Enhanced_Return
[Texte intégral - PDF - En anglais
24 pages - 0,99 Mo]

rédigé par STEPHANE COLOMBANI
mise à jour le 15 février 2008

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