WebFacts and Fantasies about Commodity Futures Gary B. Gorton, K. Rouwenhorst Economics 2004 For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December… Expand 1,321 Highly Influential PDF WebJun 2, 2014 · Over the last decade, commodity futures have become a popular asset class for portfolio investors, just like stocks and bonds. This process is sometimes referred to as the financialization of commodity markets.
Facts and Fantasies About Commodity Futures - SSRN
WebThe Fundamentals of Commodity Futures Returns. co-authored with Fumio Hayashi and Geert Rouwenhorst, Review of Finance, 2012, Pages 1-71. Facts and Fantasies about Commodity Futures. co-authored with Geert Rouwenhorst, Financial Analysts Journal, Volume 62, No. 2 (Mar. – Apr., 2006), Pages 47-68 WebFor this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July … blurb 50% off
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WebMar 1, 2005 · Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is … WebJan 1, 2015 · 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 … Web172 Facts and Fantasies about commodity Futures Financial analysts Journal Facts and Fantasies about Commodity Futures March/April 2006 www.cfapubs.org 49 to be $27 in three months. To entice investors into the market, the futures price, Ft, is set at $25, which is a discount to the expected future spot price. cle to anchorage