ReSolve Riffs with the ReSolve Crew on Optimizing Risk Parity and Stacking Alphas
Resolve Riffs Investment Podcast
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Is There a Rebalancing Premium for Commodities?
There's no rational reason foras to why any single commodity s going to have a yield that's going to be expected to make any positive returns overtime. When you apply a well diverse, fied portfolio of commodities and rebalancem at a certain frequency, you extract a rebalancing premium for free. It is entrope, being able to grab from the winners, given to the losers before they mean revert. That provides that excess return overtime. So there's a lot therele yous decide which one of these steakes. Wel want to start eating the other is. And think in the interview that you did with ant ilmenon one of the things that stood out
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