Commodity Portfolio Management

Managing a commodity portfolio is not particularly easy because commodities markets respond to idiosyncratic features, which cannot be found in equities, nor in the fixed income markets. In fact, their response to changes in the macroeconomic, financial and geopolitical landscapes might considerably differ from one commodity to another. In order to better address these problems, this paper examines four important aspects of commodity portfolio management: (1) commodity market returns; (2) commodity volatilities; (3) commodity seasonal volatility; and (4) trend and mean reversion.