Commodity Futures: A Japanese Perspective
We study the basic properties of an equally-weighted index of U.S. commodity futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties, documented in Gorton and Rouwenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity futures index, translated into Yen, continues to display equity-like returns, but with slightly less volatility. In addition, the Yen-based commodity futures returns show essentially zero correlation with Japanese equities and negative correlation with bonds. Note: Downloadable document is in English. The Japanese version is available at http://ssrn.com/abstract=834724
|Date of creation:||01 Aug 2006|
|Date of revision:||01 Feb 2007|
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"Facts and Fantasies about Commodity Futures,"
NBER Working Papers
10595, National Bureau of Economic Research, Inc.
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