The First Commodity Futures Index of 1933

Posted: 20 Sep 2019 Last revised: 14 Dec 2019

See all articles by Geetesh Bhardwaj

Geetesh Bhardwaj

SummerHaven Investment Management

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Date Written: September 19, 2019

Abstract

We document the properties of the first commodity futures index, the Dow Jones Commodity Futures Index, and use it as a historical laboratory experiment to study the pricing of commodity futures. Despite the setbacks posed by contract failure and trading suspensions of index constituents, the index earned a risk premium of 3.7% per year between 1933 and 1998. The index exhibits time-varying correlations with equities that are higher around economic downturns, and a correlation with inflation that are positive and exceed those of traditional assets.

Keywords: Commodity Futures, Risk Premium, Indexation, Index Investing

JEL Classification: G13, N2

Suggested Citation

Bhardwaj, Geetesh and Rouwenhorst, K. Geert, The First Commodity Futures Index of 1933 (September 19, 2019). Available at SSRN: https://ssrn.com/abstract=3451443 or http://dx.doi.org/10.2139/ssrn.3451443

Geetesh Bhardwaj

SummerHaven Investment Management ( email )

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K. Geert Rouwenhorst (Contact Author)

Yale School of Management - International Center for Finance ( email )

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