Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and … in periods of factor comovement. Unique factors eliminate rising correlation and factor crashes. The results are robust …

It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters … for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both … macro fundamentals, utilising methods that account for parameter uncertainty and stochastic volatility. We show that …

, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …