Document Type

Working Paper

Date of this Version



Nikolai Roussanov


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.


commodities, futures contracts, investment management, benchmarks



Date Posted: 01 November 2017


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