Enhanced Commodity Indexes
March 20, 2012 - Commodity Futures
Do strategy-based commodity indexes introduced in recent years offer value to investors? In the February 2012 version of their paper entitled “Strategic and Tactical Roles of Enhanced Commodity Indices”, Georgios Rallis, Joelle Miffre and Ana-Maria Fuertes compare the returns and risks of enhanced long-only commodity indexes that exploit signals based on the time-to-maturity, momentum and term structure to those of two traditional commodity indexes: the Standard & Poor’s Goldman Sachs Commodity Index, and the Dow Jones-UBS Commodity Index. Using daily data for commodity futures contracts spanning October 1988 through November 2008, they find that: Keep Reading