RT Journal Article
SR Electronic
T1 Investor Interest and the Returns to Commodity Investing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 44
OP 55
DO 10.3905/jpm.2016.42.3.044
VO 42
IS 3
A1 Geetesh Bhardwaj
A1 Gary B. Gorton
A1 K. Geert Rouwenhorst
YR 2016
UL https://pm-research.com/content/42/3/44.abstract
AB 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.TOPICS: Futures and forward contracts, volatility measures