---
title: Commodity Futures Characteristics and Asset Pricing Models
url: https://www.ml-quant.com/papers/ssrn/4746258/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4746258
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4746258
featured: 2024-03-06
citations: 1
topic: Asset Pricing & Factors
---


# Commodity Futures Characteristics and Asset Pricing Models

The article shows that a latent-factor model using the Instrumented Principal Component Analysis methodology surpasses existing models in explaining variations in commodity futures returns, with momentum, expected shortfall, and idiosyncratic volatility as key factors.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4746258
- Identifier: SSRN 4746258
- Released: 2024-03-03
- First featured: Quant Letter No. 39 (2024-03-06): https://www.ml-quant.com/issues/2024-03-06/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Asset Pricing & Factors

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