Abstract

http://ssrn.com/abstract=869064
 
 

References (4)



 
 

Citations (2)



 


 



A Note on Erb and Harvey (2005)


Gary B. Gorton


Yale School of Management; National Bureau of Economic Research (NBER)

K. Geert Rouwenhorst


Yale School of Management - International Center for Finance

May 2005

Yale ICF Working Paper No. 06-02

Abstract:     
This note is a response to a recent paper by Erb and Harvey (2005). We show that diversification returns are mathematical properties of geometric averages of index returns, and not due to rebalancing. We also show how rebalancing affects the performance of the equal-weighted commodity futures index constructed by Gorton and Rouwenhorst (2005). Because rebalancing is an embedded trading strategy, it can be a source of return. Less frequent rebalancing would have increased, rather than lowered the performance of the equally-weighted commodity index.

Number of Pages in PDF File: 10

Keywords: Commodity, commodities, futures, diversification

JEL Classification: G2, G15, N2

working papers series


Download This Paper

Date posted: December 12, 2005  

Suggested Citation

Gorton, Gary B. and Rouwenhorst, K. Geert, A Note on Erb and Harvey (2005) (May 2005). Yale ICF Working Paper No. 06-02. Available at SSRN: http://ssrn.com/abstract=869064

Contact Information

Gary B. Gorton
Yale School of Management ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203 432-8931 (Fax)
HOME PAGE: http://mba.yale.edu/faculty/profiles/gorton.shtml
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
K. Geert Rouwenhorst (Contact Author)
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://som.yale.edu/~geert/

Feedback to SSRN


Paper statistics
Abstract Views: 4,789
Downloads: 1,451
Download Rank: 5,781
References:  4
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.313 seconds