Commodities - Active Strategies for Enhanced Return
Auteurs : Hilary Till Co-founder of Premia Capital Management, LLC Research Associate with the EDHEC Risk and Asset Management Research Centre
Joseph Eagleye Co-founder of Premia Capital Management, LLC
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.
Créé le 7 novembre 2005
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Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.