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- W3217415215 abstract "We contribute to the literature on the diversification benefits of commodity futures by integrating it with the literature on style integration. Our work augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity futures. The style-integrated portfolio offers remarkable out-of-sample performance and low correlations with stocks and bonds, in particular in periods of heightened volatility in equity markets. As such, it is a worthy candidate for inclusion to the strategic asset allocation of investors. Treating the style-integrated portfolio as part of the strategic mix is found to enhance out-of-sample performance and reduce crash risk compared to the alternatives considered thus far. The conclusion holds across traditional asset mix and portfolio allocation methods. Albeit lower, the diversification benefits of style integration also persist in a long-only setting." @default.
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- W3217415215 date "2021-01-01" @default.
- W3217415215 modified "2023-10-18" @default.
- W3217415215 title "The strategic allocation to style-integrated portfolios of commodity futures" @default.
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- W3217415215 doi "https://doi.org/10.2139/ssrn.3881179" @default.
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