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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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In this issue
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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
- Info & Metrics
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