Tactical Asset Allocation and Commodity Futures

By Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer. 2002

128 citations recorded by the source corpus.

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Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, unknown): “1 Other references on active management in commodity markets include Jensen et al. (2002), Wang and Yu (2004), Marshall et al.”
On the diversification benefits of commodities from the perspective of euro investors (2012, background): “In contrast to this, Jensen et al. (2000, 2002) purport that the diversification benefits of commodity investments only exist during restrictive phases of the monetary cycle.”
The Strategic and Tactical Value of Commodity Futures (2006, background): “Jensen et al. (2000, 2002) found that the GSCI outperformed stocks and bonds when their measure (now discontinued) of U.S. Federal Reserve monetary policy rose.”
Forecasting the price of gold using dynamic model averaging (2015, background): “As indicated, gold is a hedge against inflation (Jaffe 1989; Capie et al., 2005; Jensen et al., 2002; Ghazali, 2013)..”