Value, Momentum and Basis in Commodity Futures: 1877-2017

Commodity Futures contracts were established in 1865, but commercially available data starts in 1959, leaving an 80+ year period of unstudied history. In our latest academic paper “Two Centuries of Commodity Futures Premia” Chris Geczy and I use hand-collected futures data to extend the well-known cross-sectional Value, Momentum and Basis factors in commodity futures back to 1877.

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Two Risks That Ruin Long-Run Investing

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The first risk of investing is the Drawdown Risk - the loss from the peak. The second risk of investing is the Low Return Risk - the under-performance vs. expectations over a stretched period of time.

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A Growing List of Long-Run Factor Studies

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While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run.

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Relevance of Long-Run Historical Data Today: Case of Price Momentum Crashes

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Many people ask me why I look at such long historical data when today is surely very different from distant past. Here is how my fascination with long-run data started and why I think insights from deep history are very useful.

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Top Free Factor Investing Tools and Data Websites

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Factor investing has been democratized. Having spent over 15 years as an institutional portfolio manager in factor-based strategies, I am amazed at the adoption rate of these approaches. I am now often asked by investors interested in factors for free web-tools to learn and experiment with factor-based technologies, and here are some of the best free sites that I recommend for factor investing:

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The Common Failure of Asset Allocation

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Most investors agree that the biggest decision in investing is asset allocation, but few agree on what the best asset allocation strategy is: from “Stocks for the Long-Run” and “Random Walk Down Wall Street”, to “Endowment Style” and “Risk Parity” to “Factor-Based Investing” and “Dynamic Asset Allocation”.

Why do so many investors fail to achieve the average returns that various asset allocation approaches provide over the long-run?

Asset Allocation over the Long-Run

Hello friends in the New York area. Please join me after work for a short talk (Tuesday Jan 29th, 5.30pm) to learn what the deep history can teach us about risks and opportunities of popular total portfolio investment philosophies like Stocks for the Long Run, Diversified 60/40, Endowment, Risk-Parity, Factor-Based and Dynamic asset allocation. Hope to see you there.

For details see here