Tactical allocation in commodity futures markets

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Commodity futures have become widespread investment vehicles among traditional and alternative asset managers. They are now commonly used for strategic and tactical asset allocations.

The strategic appeal of commodity indexes comes from their equity-like return, their inflation-hedging properties and their role in risk diversification.1–6

Recent research has also established that commodity futures can be used to generate abnormal returns. For example, Erb and Harvey4 exploit the term structure si

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