Do Commodity Factors Work as Inflation Hedges and Safe Havens?
“We observe that momentum, basis momentum, and a combination of factor portfolios act as strong hedges against core inflation shocks, suggesting that holding the factor portfolios generates not only higher Sharpe ratios but also strong hedge effects against inflation.”
AssetCommoditiesfutures
StrategyMomentum
ClaimSharpe ratio
InputsMacro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Commodity Sectors and Factor Investment Strategies by Nakagawa and Sakemoto | 2023 | ||||
| Commodity Momentum Decomposition by Iwanaga and Sakemoto | 2022 | ||||
| Cross-Asset Momentum Spillover from Commodities to Sector Equities via Granger Causality by Arora | 2026 | ||||
| Trader-Company Method: A Metaheuristic for Interpretable Stock Price Prediction by Ito et al. | 2020 | ||||
| Dual Momentum Allocation Between Physical Gold and Bitcoin (Digital Gold) by Vojtko and Dujava | 2026 |