How to (Potentially) Weather the Storm in Risk Premia Strategies in the Commodity Markets

This article describes risk premia strategies and notes how commodity risk premia strategies are an extension of ideas that originated in the equity markets. The paper then covers various techniques which attempt to minimize the inevitable losses that can arise from such strategies. The article concludes with several hypotheses on why commodity risk premia strategies have historically earned high average returns and does so by identifying the risk exposures that investors are taking on and for which they need to be compensated.