ARP strategies: With or without commodities?
- 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
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