Extending Benchmarks For Commodity Investments

Loading...
Thumbnail Image
Penn collection
Summer Program for Undergraduate Research (SPUR)
Degree type
Discipline
Subject
commodities
futures contracts
investment management
benchmarks
Business
Finance and Financial Management
Portfolio and Security Analysis
Funder
Grant number
License
Copyright date
Distributor
Related resources
Contributor
Abstract

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.

Advisor
Nikolai Roussanov
Date Range for Data Collection (Start Date)
Date Range for Data Collection (End Date)
Digital Object Identifier
Series name and number
Publication date
2017-01-01
Volume number
Issue number
Publisher
Publisher DOI
Journal Issue
Comments
Recommended citation
Collection