Investor Interest and the Returns to Commodity Investing
Forthcoming, Journal of Portfolio Management
20 Pages Posted: 14 Oct 2019
Date Written: February 8, 2016
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: Suggested Citation