全球智库信息集成服务系统(G2TT): The Tactical and Strategic Value of Commodity Futures

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11222
来源ID	Working Paper 11222
	The Tactical and Strategic Value of Commodity Futures
	Claude B. Erb; Campbell R. Harvey
发表日期	2005-03-28
出版年	2005
语种	英语
摘要	Historically, commodity futures have had excess returns similar to those of equities. But what should we expect in the future? The usual risk factors are unable to explain the time-series variation in excess returns. In addition, our evidence suggests that commodity futures are an inconsistent, if not tenuous, hedge against unexpected inflation. Further, the historically high average returns to a commodity futures portfolio are largely driven by the choice of weighting schemes. Indeed, an equally weighted long-only portfolio of commodity futures returns has approximately a zero excess return over the past 25 years. Our portfolio analysis suggests that the a long-only strategic allocation to commodities as a general asset class is a bet on the future term structure of commodity prices, in general, and on specific portfolio weighting schemes, in particular. In contrast, we provide evidence that there are distinct benefits to an asset allocation overlay that tactically allocates using commodity futures exposures. We examine three trading strategies that use both momentum and the term structure of futures prices. We find that the tactical strategies provide higher average returns and lower risk than a long-only commodity futures exposure.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Macroeconomics ; Money and Interest Rates
URL	https://www.nber.org/papers/w11222
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/568859
推荐引用方式 GB/T 7714	Claude B. Erb,Campbell R. Harvey. The Tactical and Strategic Value of Commodity Futures. 2005.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w11222.pdf（320KB）	智库出版物		限制开放	CC BY-NC-SA	浏览