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Article

Investor Interest and the Returns to Commodity Investing

Geetesh Bhardwaj, Gary B. Gorton and K. Geert Rouwenhorst
The Journal of Portfolio Management Spring 2016, 42 (3) 44-55; DOI: https://doi.org/10.3905/jpm.2016.42.3.044
Geetesh Bhardwaj
is the executive director at SummerHaven Investment Management in Stamford, CT.
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  • For correspondence: gbhardwaj@summerhavenim.com
Gary B. Gorton
is the Frederick Frank Class of 1954 Professor of Finance at the Yale School of Management in New, Haven, CT, and a research associate at the National Bureau of Economic Research in Cambridge, MA.
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  • For correspondence: gary.gorton@yale.edu
K. Geert Rouwenhorst
is the Robert B. and Candice J. Haas Professor of Corporate Finance at the Yale School of Management in New Haven, CT.
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  • For correspondence: k.rouwenhorst@yale.edu
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Abstract

The authors examine the behavior of monthly commodity futures returns over the decade since 2004, when new investor inflows entered the asset class. They find 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 rather than the financialization of the asset class.

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The Journal of Portfolio Management: 42 (3)
The Journal of Portfolio Management
Vol. 42, Issue 3
Spring 2016
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Investor Interest and the Returns to Commodity Investing
Geetesh Bhardwaj, Gary B. Gorton, K. Geert Rouwenhorst
The Journal of Portfolio Management Apr 2016, 42 (3) 44-55; DOI: 10.3905/jpm.2016.42.3.044

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Investor Interest and the Returns to Commodity Investing
Geetesh Bhardwaj, Gary B. Gorton, K. Geert Rouwenhorst
The Journal of Portfolio Management Apr 2016, 42 (3) 44-55; DOI: 10.3905/jpm.2016.42.3.044
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  • Article
    • Abstract
    • INVESTOR COMPOSITION IN COMMODITY FUTURES MARKETS
    • THE RISK PREMIUM OF COMMODITY FUTURES
    • RISK PREMIUM AND THE LINK TO THE FUNDAMENTALS OF SCARCITY (BASIS)
    • DIVERSIFICATION PROPERTIESOF COMMODITY FUTURES
    • INTRACOMMODITY CORRELATIONS
    • COMMODITY CORRELATIONS ANDTHE BUSINESS CYCLE
    • INDEX VERSUS NON-INDEX COMMODITY CORRELATIONS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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