全球智库信息集成服务系统(G2TT): Facts and Fantasies about Commodity Futures Ten Years Later

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w21243
来源ID	Working Paper 21243
	Facts and Fantasies about Commodity Futures Ten Years Later
	Geetesh Bhardwaj; Gary Gorton; Geert Rouwenhorst
发表日期	2015-06-08
出版年	2015
语种	英语
摘要	Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with the return on stocks and bonds. Reviewing these results ten years later, we find that our conclusions largely hold up out-of-sample. The in- and out-of-sample average commodity risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the basis. Correlations among commodities and commodity correlations with other assets experienced a temporary increase during the financial crisis which is in line with historical experience of variation of these correlations over the business cycle.
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w21243
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/578918
推荐引用方式 GB/T 7714	Geetesh Bhardwaj,Gary Gorton,Geert Rouwenhorst. Facts and Fantasies about Commodity Futures Ten Years Later. 2015.