The 2008 financial crisis has severely challenged passive forms of investment. In this paper, we compare two systematic investment processes that a global asset allocator may employ to preserve its capital in the face of a turbulent financial environment. The "risk-driven" allocation, derived...

Through the analysis of the weekly CFTC reports on 12 US traded agricultural commodities, we revisit the heated debate on the impact of index flows on commodities prices. After introducing a novel stock-to-use proxy that may be used to represent inventory variations at the intra-month level, we...