Facts and Fantasies about Commodity Futures
AbstractWe construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2619.
Date of creation: 01 Jun 2004
Date of revision: 01 Mar 2005
Other versions of this item:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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