Do Commodities Add Value in Multi-Asset-Portfolios? An Out-of-Sample Analysis for Different Investment Strategies

57 Pages Posted: 26 Apr 2014 Last revised: 20 Nov 2015

See all articles by Wolfgang Bessler

Wolfgang Bessler

University of Hamburg

Dominik Wolff

Deka Investment GmbH; Technical University of Darmstadt; Frankfurt University of Applied Sciences

Date Written: June 21, 2015


An essential motive for investing in commodities is to enhance the performance of portfolios traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample portfolio effects resulting from adding commodities to a stock-bond portfolio for commonly implemented asset-allocation strategies such as equally and strategically weighted portfolios, risk-parity, minimum-variance as well as reward-to-risk timing, mean-variance and Black-Litterman. We analyze different commodity groups such as agricultural and livestock com-modities that currently are critically discussed. The out-of-sample portfolio analysis indicates that the attainable benefits of commodities are much smaller than suggested by previous in-sample studies. Hence, in-sample analyses, such as spanning tests, might exaggerate the ad-vantages of commodities. Moreover, the portfolio gains greatly vary between different types of commodities and sub-periods. While aggregate commodity indices, industrial and precious metals as well as energy improve the performance of a stock-bond portfolio for most asset-allocation strategies, we hardly find positive portfolio effects for agriculture and livestock. Consequently, investments in food commodities are not essential for efficient asset allocation.

Keywords: Commodities, Asset allocation models, Out-of-sample portfolio optimization, Diversification, Performance evaluation

JEL Classification: C61, G10, G11

Suggested Citation

Bessler, Wolfgang and Wolff, Dominik and Wolff, Dominik, Do Commodities Add Value in Multi-Asset-Portfolios? An Out-of-Sample Analysis for Different Investment Strategies (June 21, 2015). Journal of Banking and Finance, 60, 1-20, 2015, Available at SSRN: or

Wolfgang Bessler

University of Hamburg ( email )

Allende-Platz 1
Hamburg, 20146

Dominik Wolff (Contact Author)

Deka Investment GmbH ( email )

Mainzer Landstrasse 16
Frankfurt am Main, 60325

Technical University of Darmstadt

HochschulstraƟe 1
S1|02 40
Darmstadt, Hessen D-64289

Frankfurt University of Applied Sciences ( email )

Nibelungenplatz 1
Frankfurt / Main, 60318

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