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Journal Article

Commodities for the Long Run

October 20, 2016 - Ari Levine Yao Hua Ooi Matthew P. Richardson Caroline Sasseville

This paper analyzes a novel data set of commodity futures prices between 1877-2015, allowing us to show that returns do vary significantly across business cycles but can add value to a diversified portfolio from an asset allocation perspective.

Journal Article

Which Trend Is Your Friend?

March 17, 2016 - Ari Levine Lasse H. Pedersen

The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.

White Paper

Building a Better Commodities Portfolio

July 1, 2012 - Bradley Kay Ari Levine Yao Hua Ooi Lasse H. Pedersen

Rather than relying on passive indexes like the S&P GSCI and the Dow Jones-UBS Commodity Index, investors can potentially build a better commodities portfolio by balancing risk across sectors and targeting a steady level of volatility through time.

White Paper

Enhanced Portfolio Optimization

March 2, 2020 - Lasse H. Pedersen Abhilash Babu Ari Levine

We show how to identify the portfolios that cause problems in standard mean-variance optimization (MVO) and develop an enhanced portfolio optimization (EPO) method that addresses the problems. Applying EPO on several realistic datasets, we find significant gains relative to standard benchmarks.