futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of … robust commodity futures portfolios. This paper documents the benefits of applying a sophisticated, robust optimization … technique to construct commodity futures portfolios. We find that a 12-month lookback period contains the most useful …

and term risk premia in an intuitive manner related to investable portfolios. The straightforward construction of our … sorted portfolios and risk adjusted alphas as benchmarks. Thus, we feel it is an appropriate benchmark to evaluate commodity …

, there are statistical and economically significant momentum profits, and the profitability increases with the rising of … than the other two momentum strategies on a risk-adjusted basis; but the superiority declines sharply since 1998. Momentum … returns are quite sensitive to market conditions but the crash of momentum returns are partly predictable. Return seasonality …

In this study we confirm the existence of sizable momentum, carry and low-volatility factor premiums in the commodity … allocation. We find that diversified portfolios of commodity factor premiums exhibits a significantly better risk …

In this study we confirm the existence of sizable momentum, carry and low-volatility factor premiums in the commodity … allocation. We find that diversified portfolios of commodity factor premiums exhibits a significantly better risk …