30-09-2014 · Research

Strategic Allocation to Commodity Factor Premiums

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

    Chief Researcher

  • Wilma de Groot

    Head of Core Quant Equities and Head of Quant Equity Portfolio Management Team

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