改进传统商品指数

改进传统商品指数

Improving on Traditional Commodity Indices

原文：https://www.researchaffiliates.com/en_us/publications/articles/578-improving-on-traditional-commodity-indices.html

1、商品分散传统投资组合

2、通胀保护

3、尽管承担了高波动，但长期表现不佳

4、传统商品指数的缺陷：

1）各商品权重只考虑按照世界已经的市场价值加权，能源权重很高，没有实现多样化；

2）没有根据市场环境变化进行调整，比如仅选择流动性好的近期合约而不考虑展期收益，也没有考虑动量。

5、两个重要商品因子：展期收益和动量

注：1）组合构建三等分；2）等权；3）每月再平衡

6、改变合约月份的选择，减低了波动率和换手率

7、The Dow Jones RAFI Commodity Index发布

The index is constructed with the following methodology:

Uses base weights of 24 commodities across three major sectors, determined annually, from the parent Dow Jones Commodity Index.5

Reweights the portfolio (i.e., modifies the base weights) monthly based on an equal blend of momentum and roll-yield signals.

Selects contracts monthly, after the monthly portfolio weights are determined (i.e., the index selects the contract with the highest implied roll yield from a set of liquid contracts up to 24 months out on the futures curve).6

8、道琼斯锐联商品指数表现大幅跑赢传统商品指数

9、无论高通胀，还是低通胀，都有在超额收益

10、发布以来的表现