Maximum diversification strategies along commodity risk factors
研究在商品资产中追求最大分散化的风险平价策略，发现基于主成分分析的方法因因子不稳定导致过高换手率，提出一种基于常见商品风险因子的替代设计。
Abstract Pursuing risk‐based allocation across a universe of commodity assets, we find diversified risk parity (DRP) strategies to provide convincing results. DRP strives for maximum diversification along uncorrelated risk sources. A straightforward way to derive uncorrelated risk sources relies on principal components analysis (PCA). While the ensuing statistical factors can be associated with commodity sector bets, the corresponding DRP strategy entails excessive turnover because of the instability of the PCA factors. We suggest an alternative design of the DRP strategy relative to common commodity risk factors that implicitly allows for a uniform exposure to commodity risk premia.