Investor Interest and the Returns to Commodity Investing

Forthcoming, Journal of Portfolio Management

20 Pages Posted: 14 Oct 2019

See all articles by Geetesh Bhardwaj

Geetesh Bhardwaj

SummerHaven Investment Management

Gary B. Gorton

Yale School of Management; National Bureau of Economic Research (NBER); Yale University - Yale Program on Financial Stability

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Date Written: February 8, 2016

Abstract

The authors examine the behavior of monthly commodity futures returns over the decade since 2004 when new investor inflows entered the asset class. The main findings are that average returns have been similar to their long-term historical means. Correlations among commodities and commodity-equity correlations temporarily increased around the financial crisis, but have since returned to normal. This variation is linked to the business cycle instead of the financialization of the asset class.

Keywords: Commidity Futures, Index investing, Hedgers, Speculators

JEL Classification: G12, G13

Suggested Citation

Bhardwaj, Geetesh and Gorton, Gary B. and Rouwenhorst, K. Geert, Investor Interest and the Returns to Commodity Investing (February 8, 2016). Forthcoming, Journal of Portfolio Management. Available at SSRN: https://ssrn.com/abstract=3452843

Geetesh Bhardwaj

SummerHaven Investment Management ( email )

Soundview Plaza,
1266 East Main Street
Stamford, CT 06902
United States

Gary B. Gorton

Yale School of Management ( email )

165 Whitney Ave
P.O. Box 208200
New haven, CT 06511
United States

HOME PAGE: http://mba.yale.edu/faculty/profiles/gorton.shtml

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yale University - Yale Program on Financial Stability

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States

K. Geert Rouwenhorst (Contact Author)

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

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)

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