Commodity Futures: A Japanese Perspective
24 Pages Posted: 15 Aug 2006
Date Written: October 19, 2005
We study the basic properties of an equally-weighted index of U.S. commodity 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 English. The Japanese version is available at http://ssrn.com/abstract=834724
Keywords: commodity futures
JEL Classification: G12
Suggested Citation: Suggested Citation