  Commodity futures constitute an attractive asset class for portfolio
managers. Propelled by their low correlation with other assets, commodities
begin gaining popularity among investors, as they allow to capture
diversification benefits. After more than two decades of active investing
experience, this paper examines the time and frequency of spillovers between
Economic Policy Uncertainty (Davis, 2016) and a broad set of commodities. The
period under examination goes from December 1997 until April 2022, covering
political, economic, and even health crises. We apply a wavelet coherence
analysis between time series, in order to shed light on the time-frequency
comovements and lead-lag relationships. This research finds a distinct impact
on the commodities, depending on the nature of the crisis. In particular,
during the global financial crisis and the Covid-19 crisis, comovements are
stronger in most commodities.
