Do alternative assets such as commodities improve portfolio diversification? The empirical evidence is generally positive but mixed, and almost exclusively focuses on U.S. data. Using several distinct commodity indexes over the period 1993-2019, we investigate the case of an investor in Canada,...

Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...