Benchmarking commodity investments
提出了一个四因子资产定价模型，用于解释大宗商品的现货和期货风险溢价，并作为评估大宗商品投资工具的基准。
While much is known about the financialization of commodities, less is known about how to profitably invest in commodities. We develop a four‐factor asset pricing model of commodity returns. Our four‐factor model prices both commodity spot and term risk premia in an intuitive manner related to investable portfolios. The straightforward construction of our factors is an improvement over previous models. Furthermore, our four‐factor model prices commodity risk premia using both sorted portfolios and risk adjusted alphas as benchmarks. Thus, we feel it is an appropriate benchmark to evaluate commodity investment vehicles.