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Strategic Allocation to Commodity Factor Premiums

18-07-2013 | Research | David Blitz, PhD, Wilma de Groot, CFA Commodities have become less popular for investors. They are wondering if the traditional arguments for investing in commodities – like diversification- still apply. This paper explores a better way to invest: by setting up a commodity factor portfolio
 
David Blitz

David Blitz, PhD

Head Quantitative Equities Research

“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”

Wilma de Groot

Wilma de Groot, CFA

Senior Portfolio Manager

"Quantitative investment strategies should be transparent and result in logically explainable portfolios, instead of black boxes.”

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David Blitz, PhD
Head Quantitative Equities Research


Author

Wilma de Groot, CFA
Senior Portfolio Manager


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