This paper examines the return performance and diversification benefits of both buy-and-hold and tactical portfolios of commodity futures. We fuse together both of these highly desired investment benefits of the unique asset class to provide a thorough analysis of the commodities market given...

This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...