I’m fairly new to Commodities and would like to learn more about how factor strategies work in this space. Does anyone have good guides/references to recommend?
Thanks
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You can start with the article by CME Group on "Benchmarking Commodities". Other than that I'd suggest you read up on specific factors prevelant in commodities like value and momentum (given in "Value Momentum Everywhere" by NYU Stern). Carry( Given in "Carry" by AQR) and more factors like risk aversion etc. You'd find many papers that would define value in Commodities differently (e.g some define it simply as price reversion, some as inventory reversion).
