PT - JOURNAL ARTICLE AU - David Blitz AU - Wilma de Groot TI - Strategic Allocation to Commodity Factor Premiums AID - 10.3905/jai.2014.17.2.103 DP - 2014 Sep 30 TA - The Journal of Alternative Investments PG - 103--115 VI - 17 IP - 2 4099 - https://pm-research.com/content/17/2/103.short 4100 - https://pm-research.com/content/17/2/103.full AB - In this article the authors confirm the existence of sizable momentum, carry, and low-volatility factor premiums in the commodity market, and argue that investors should consider these commodity factor premiums when determining their strategic asset allocation. They find that a diversified portfolio of commodity factor premiums exhibits a significantly better risk-adjusted performance than the commodity market portfolio and adds significant value to a conventional stock/bond portfolio. The plain commodity market portfolio, on the other hand, appears to deserve little or no role at all in the strategic asset mix. Investors should therefore not postpone the consideration of alternative commodity factor premiums to a later stage of the investment process.TOPICS: Commodities, factor-based models, portfolio construction