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ARP strategies: With or without commodities?

MASF Insight
30 November 2019
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    Key takeaways

    • Due to significant idiosyncratic risks, identifying systematic factors in order to include commodities into an ARP portfolio is difficult
    • Defining the right metrics for Carry and Value factors is challenging owing to the very nature of commodities
    • Carry, Momentum and Value factors have posted lower Sharpe ratios in the commodities space than in other asset classes
    • So far, the benefits of adding commodities into an equal risk balanced portfolio remain unclear

    The publication is available in pdf format above this article.

    ARP strategies: With or without Commodities?

    Description: Audio interview with Philippe Declerck, CFA