Piersanti, Andrea (A.A. 2021/2022) Factor based commodity investing. Tesi di Laurea in Teoria e gestione del portafoglio, Luiss Guido Carli, relatore Nicola Borri, pp. 141. [Master's Degree Thesis]

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Abstract/Index

Commodity risk premium, futures returns decomposition, expected returns & historical series. Relazione prezzo spot e prezzo futures: cost of carry. Futures return decomposition. Commodity risk premium. What drives the shape of commodity term structure and expected commodity returns? Serie storiche dei commodity indices. Fundamentals of commodity returns: the role of inventories, net position of market participant, State of the economy. Data and variables. Futures excess return. Historical performance of commodity portfolio (EW). The role of inventories on commodity risk premium. The role of net positions of futures market participants on commodity risk premium. Factor portfolios. Intro & review of literature. Commodity factor portfolios. Performance commodity factor portfolios. Factor portfolios: returns decomposition, macro performance, risk diversification & inflation hedging, drawdown analysis. Time-series test: spanning regression and GRS test. Cross-sectional test. Factor portfolios return's exposure to risk factors.

References

Bibliografia: pp. 116-117.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Teoria e gestione del portafoglio
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Jona-Lasinio, Cecilia Susanne
Academic Year:	2021/2022
Session:	Extraordinary
Deposited by:	Alessandro Perfetti
Date Deposited:	03 Aug 2023 09:17
Last Modified:	03 Aug 2023 09:17
URI:	https://tesi.luiss.it/id/eprint/36250

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