Strategies · Library · Commodities
§9.3Hedges and structures
Portfolio diversification with commodities
Hold a fixed slice in commodities alongside stocks to cut risk, or tilt the slice up and down with policy rates.
Open in the builderAs the book sets it out, long only.
- Asset class
- Commodities
- Held for
- Years
- Data
- ARCANE has the data
- Symphony
- Builds in the symphony builder
The rule
- Signal
- Fixed target share, or the change in the Fed discount rate.
- Entry and exit
- Rebalance monthly or yearly.
- Sizing
- Preset mix.
How it fails
- Commodity slumps
- Correlation rises in crises
- Roll drag in funds
Data it needs
- equity ETF closes
- commodity ETF closes
- policy rate
All series available; Kalshi Fed odds can stand in for rate direction.
How ARCANE uses it
A Call on a basket mix could use this as baseline.
Builds in the symphony builder. A fixed mix of stock and commodity ETFs, rebalanced.
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §9.3, p. 91 of the SSRN version. Described in our words. Hedges and structures is ARCANE’s filing, not the book’s.