Premia Research LLC believes (a) that some (but not all) commodities can potentially diversify a balanced portfolio of equities and bonds; and (b) that the selection of commodities that are included in one’s asset allocation model should be determined by fundamental analysis. Further, Premia Research has found that historically, fundamental information in the commodity markets can potentially be inferred from price-relationship data. One can use this insight to dynamically determine which commodities to include in a diversified portfolio. Accordingly, Premia Research’s Bancor Index is an asset allocation model that reflects these beliefs and includes equity futures contracts, Treasury Note futures contracts, and a “smart” exposure to commodity futures contracts.
Unlike the Excess Return version of the Premia Research Bancor Index, the Total Return version also includes the 3-month Treasury Bill yield that would be garnered from fully collateralizing an investment that follows the Premia Research Bancor Index’s asset-allocation rules.
