Facts and fantasies about commodity futures
By: Gary Gorton, K. Geert Rouwenhorst.
Contributors: Rouwenhorst, K. Geert.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10595; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10595.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Commodity futures.; Inflation (Finance)
Description: "We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March 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 correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle.  In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/27/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.