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Commodities Alpha

Commodities Alpha

•Gary Gorton and K. Geert Rouwenhorst, "Facts and Fantasies about Commodity Futures business essays March/April 2006, Vol. 62, No. 2: 47-68

•Joelle Miffre, Georgios Rallis, "Momentum Strategies in Commodity Futures Markets", Cass Business School Research Paper, 2006

•Campbell Harvey, Claude Erb, "The Tactical and Strategic Value of Commodity Futures", Financial Analysts Journal, Volume 62 (2), 2006.

•Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," NBER Working Papers 13901, National Bureau of Economic Research, Inc.

•Fuertes, Ana-Maria, Miffre, Joelle and Rallis, Georgios, Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (April 22, 2010).

•Feldman, Barry E. and Till, Hilary F., Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance: Evidence from Soy, Corn and Wheat Futures from 1950 to 2004 (January 3, 2007).

•Giamouridis, D.G. and M.N. Tamvakis, 2001, The Relation Between Return and Volatility in the Commodity Markets, Journal of Alternative Investments, 4, 1, 54 – 62.

•Bodie, Z., and Rosansky. V. “Risk and Returns in Commodity Futures.” Financial Analysts Journal (May/June 1980), pp. 27–39.


Commodities Inflation Hedge

•Bodie, Z. “Commodity Futures as a Hedge against Inflation.” Journal of Portfolio Management, Spring 1983, pp. 12–17.

•Erb, C., and Harvey.“C. The Strategic and Tactical Value of Commodity Futures.” Financial Analysts Journal (March/ April 2006) pp. 69–97.

•Greer, R.J. “Conservative Commodities: A Key Inflation Hedge.” Journal of Portfolio Management, Summer 1978, pp. 26–29.

•Jensen, G., Johnson, and R. Mercer.“J. Efficient Use of Commodity Futures in Diversified Portfolios.” Journal of Futures Markets, Vol. 20, No. 5 (May 2000), pp. 489–506.

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