Abstract We investigate the behavior of commodity futures risk premia in China. In presence retail‐dominance and barriers‐to‐entry, term structure momentum remain persistent, whereas hedging pressure, skewness, volatility, liquidity are distorted by time‐varying margins strict position limits. Furthermore, open interest, currency, inflation sensitive to institutional settings. The observed cannot be attributed common risks, sentiment, transactions costs, or data‐snooping, but related...

Abstract We find compelling evidence that integrating environment, social and governance (ESG) analyses into ongoing investment practices in Australia does not harm risk‐adjusted returns. High‐ESG‐rated portfolios consistently provide superior outperformance, diversification efficiencies, lower overall risk compared to low‐ESG‐rated portfolios. In contrast low‐rated portfolios, we no high‐ESG‐rated underperform the market. All results remain robust alternative time periods, market cycles,...

Abstract We extract commodity‐level sentiment from the Twittersphere in 2009–2020. A long–short strategy based on shifts more than doubles Sharpe ratio of extant commodity factors. Commodities with lower (higher) tend to be overvalued (undervalued) when aggregate market is backwardation (contango). The premium pronounced during periods macro contraction and deteriorating funding liquidity. While concentrates commodities higher tweet intensity, extracted influential tweets (i.e., high number...

Following the introduction of European Union Emissions Trading Scheme (EU-ETS), CO 2 emissions have become a tradable commodity. As regulated party, emitters are forced to take into account additional cost carbon in their production costs structure. Given high volatility price, importance price risk management becomes unquestionable. This study is first attempt that has been made calculate hedge ratios and investigate hedging effectiveness EU-ETS market by applying conventional, recently...

Abstract The paper investigates the information content of speculative pressure across futures classes. Long‐short portfolios contracts sorted by capture a significant premium in commodity, currency, and equity markets but not fixed income markets. Exposure to index futures’ is priced broad cross‐section after controlling for momentum, carry, global liquidity, volatility risks. findings are confirmed robustness tests using alternative signals, portfolio construction techniques, subperiods...

Abstract We examine the role of risk management in context commodity factor premia. Stopping losses individual commodities effectively improves average returns long‐short premia through persistent reduction frequency and severity drawdowns. The magnitude improvement is related to quality signal, return volatility, autocorrelations, as well transaction costs. efficacy a stop‐loss strategy can be enhanced by dynamically calibrating loss thresholds accordance with realized it performs best high...

We investigate the behavior of commodity futures risk premia in China. In presence retail-dominance and barriers-to-entry, term structure momentum remain persistent, whereas hedging pressure, skewness, volatility liquidity are distorted by time-varying margins strict position limits. Furthermore, open interest, currency inflation sensitive to institutional settings. The observed cannot be attributed common risks, sentiment, transactions costs or data-snooping, but related liquidity,...

Alternative Risk Premia (ARP) strategies have traditionally been sold as stand-alone products to complement a reference portfolio. We illustrate how ARP can be integrated with portfolio achieve optimal total outcomes. From 1931 2020, factor diversifying overlay reduces the risk of and captures welfare enhancing diversification premium. The relaxation budget enhances fund Sharpe ratios through strategic tilts by levering existing asset class or active management exposures. provide modular...

Following the introduction of European Union Emissions Trading Scheme, CO2 emissions have become a tradable commodity. As regulated party, emitters are forced to take into account additional carbon costs in their production structure. Given high volatility price, importance price risk management becomes unquestioned. This study is first attempt calculate hedge ratios and investigate hedging effectiveness EU-ETS market by applying conventional recently developed models estimation. These then...

This paper examines price bubbles in global commodity markets. We find that positive are driven by fundamental shocks, while negative influenced pessimistic market views on prices and the economy. Moreover, we identify disparities bubble determinants across geographic regions. Trader behavior policy uncertainty play prominent roles influencing China, predominantly shaped rational responses to inventory, growth inflation. Furthermore, only exhibit contagion Our findings suggest asset arise...

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