Commodity Sectors and Factor Investment Strategies
The study explores the impact of commodity sectors on commodity futures risk premiums, revealing that excluding the precious metal sector from a portfolio increases the Sharpe ratio, suggesting precious metals' role as hedging tools affects commodity performance.
Featured in No. 25 on 8 Nov 2023 · 26 days after release · 0 citations today
- Released
- 13 Oct 2023
- First featured
- No. 25 · 8 Nov 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4622974
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).