Commodity Futures: A Japanese Perspective
25 Pages Posted: 3 Nov 2005
Date Written: November 2005
We study the basic properties of an equally weighted index of U.S. commodities futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties documented in Gorton and Rouwenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity futures index, translated into Yen, continues to display equity-like returns, but with slightly less volatility. In addition, the Yen-based commodity futures returns show essentially zero correlation with Japanese equities and negative correlation with bonds.
Note: Downloadable document is in Japanese. The English version is available at http://ssrn.com/abstract=924340
Keywords: commodities, futures, commodity, index, diversification
JEL Classification: F3, G1, G13, G15
Suggested Citation: Suggested Citation