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White Paper

Sustainable Commodities Investing

January 22, 2025 - Michele L. Aghassi

Investors seeking to incorporate sustainability considerations into their commodities portfolios may have a variety of ESG objectives. In many ways, assessing which commodities are sustainable is the easy part. The more difficult part is identifying what investment action in commodities will achieve an ESG goal. This paper explores several types of commodities-related sustainability motivations, and how they may be mapped to consistent investment action.

Data Set

Commodities for the Long Run: Index Level Data, Monthly

November 29, 2024

We have updated the data set for the paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run. We update the data monthly.

White Paper

Building a Better Commodities Portfolio

April 22, 2022 - Yao Hua Ooi Thomas Maloney Alfie Brixton

Interest in commodities is rising again, thanks to their tendency to be particularly strong diversifiers during periods of rising or volatile inflation. We review what a “best-in-class” commodity portfolio looks like by exploring three potential enhancements to a passive approach to the asset class.

Data Set

Commodities for the Long Run: Original Paper Data

October 3, 2018

This is the original data set used for our paper “Commodities for the Long Run”, in which we analyze a novel data set of commodity futures prices going back to 1877, allowing us to show that returns of commodity futures indices have, on average, been positive over the long run.

Journal Article

Commodities for the Long Run

October 20, 2016 - Ari Levine Yao Hua Ooi Matthew P. Richardson Caroline Sasseville

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

Journal Article

Demystifying Managed Futures

February 1, 2013 - Brian K. Hurst Yao Hua Ooi Lasse H. Pedersen

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.

White Paper

Building a Better Commodities Portfolio (2012)

July 1, 2012 - Bradley Kay Ari Levine Yao Hua Ooi Lasse H. Pedersen

Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.