Facts and Fantasies about Commodity Futures Export

@article{citeulike:582625, abstract = {We 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 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.}, author = {Geert}, citeulike-article-id = {582625}, citeulike-linkout-0 = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=560042}, journal = {Yale ICF Working Paper No. 04-20}, keywords = {commodities, finance}, posted-at = {2006-04-12 06:48:19}, priority = {2}, title = {Facts and Fantasies about Commodity Futures}, url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=560042} }

TY - JOUR ID - citeulike:582625 L3 - citeulike-article-id:582625 N2 - We 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 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. JF - Yale ICF Working Paper No. 04-20 TI - Facts and Fantasies about Commodity Futures KW - commodities KW - finance AU - Geert UR - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=560042 ER -