Virtues Of A Long/Short Strategy
Much of the academic research on commodities has focused on the impact of including an allocation to long-only commodity strategies in a portfolio. Joelle Miffre and Adrian Fernandez-Perez add to the literature with a paper on the performance and volatility of long-only and long-short commodity portfolios, as well as their conditional correlation with equities (represented by the S&P 500 Index) as well as bonds (represented by the Barclays Capital U.S. Aggregate Bond Index).
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