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The first commodity futures index of 1933

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  • Bhardwaj, Geetesh
  • Janardanan, Rajkumar
  • Rouwenhorst, K. Geert

Abstract

We document the properties of the first diversified commodity futures index introduced by the Dow Jones & Company in 1933, and use its live track record to study the properties of the asset class in an experimental setting that does not suffer from backfill, selection, or survivorship biases. Despite the setbacks posed by contract failure and trading suspensions of several index constituents, the index appreciated by 3.7% per year between 1933 and 1998, while an investment in collateralized front-month futures returned 4.5% in excess of the risk-free rate. We quantify the impact of trading suspensions and contract failure on estimates of the risk premium.

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  • Bhardwaj, Geetesh & Janardanan, Rajkumar & Rouwenhorst, K. Geert, 2021. "The first commodity futures index of 1933," Journal of Commodity Markets, Elsevier, vol. 23(C).
    • Handle: RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300349
    DOI: 10.1016/j.jcomm.2020.100157
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    Cited by:

    1. John Hua Fan & Sebastian Binnewies & Sanuri De Silva, 2023. "Wisdom of crowds and commodity pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1040-1068, August.

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