Quantess January Seminar -The Role of Commodities in a Strategic Multi-Asset Portfolio

We’re kicking off the new year here at Quantess with a talk by Dr. Lei Zhang, a research officer within BlackRock’s Model Portfolio Solutions (MPS) team.

Dr. Zhang will discuss the role of commodities in a strategic multi-asset portfolio. The talk will be held on January 27th, from 6.30-7.30pm over Zoom and you can reserve your place here.

Abstract

Within multi-asset portfolios, investors often seek assets that help them achieve appreciation, diversification, and inflation protection. In this paper, we empirically assess the extent to which commodities have met these objectives. We found that:

  • Commodities have not provided long term, statistically significant returns in excess of cash, even though they have provided positive excess returns over certain time periods. We believe that commodities should not be included in strategic portfolios for return-seeking purposes.
  • Though commodities are unlikely to provide long term returns, they have significant diversifying properties, and targeted usage of certain commodities, specifically gold, can provide downside protection in periods of market volatility.
  • Commodities also have strong inflation-protection benefits, with the energy sector providing the strongest protection, followed by industrial metals and precious metals.

Speaker Bio

Dr. Zhang currently focuses on tactical equity rotation models, liquid alternatives and on multi-asset allocation models. Before joining MPS, she had been focusing on quantitative research on model-driven active equity and commodity strategies, particularly equity event driven strategies, active commodity strategies and country selection funds. She has extensive experiences on various aspects involved in launching new model driven active strategies including alpha/signal research, model management, portfolio construction, risk and trading cost modeling and implementation, optimization and process automation. She also worked at CIC (China Investment Corporation) as a secondee from Nov 2011 to April 2012. Dr. Zhang’s service with BlackRock dates back to 2007, including her years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to coming to the US, Dr. Zhang worked for China Chengxin Credit Rating Co. as a financial analyst and participated in the credit rating for the first municipal bond issuance in China. Dr. Zhang earned a BS and MS degree in statistics and actuarial science from the Renmin University of China in Beijing, MS and PhD degree in finance from Syracuse University.

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