Facts and Fantasies about Commodity Futures Ten Years Later PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Facts and Fantasies about Commodity Futures Ten Years Later PDF full book. Access full book title Facts and Fantasies about Commodity Futures Ten Years Later by Geetesh Bhardwaj. Download full books in PDF and EPUB format.
Author: Geetesh Bhardwaj
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 0
Get Book Here
Book Description
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with the return on stocks and bonds. Reviewing these results ten years later, we find that our conclusions largely hold up out-of-sample. The in- and out-of-sample average commodity risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the basis. Correlations among commodities and commodity correlations with other assets experienced a temporary increase during the financial crisis which is in line with historical experience of variation of these correlations over the business cycle.
Author: Geetesh Bhardwaj
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 0
Get Book Here
Book Description
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with the return on stocks and bonds. Reviewing these results ten years later, we find that our conclusions largely hold up out-of-sample. The in- and out-of-sample average commodity risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the basis. Correlations among commodities and commodity correlations with other assets experienced a temporary increase during the financial crisis which is in line with historical experience of variation of these correlations over the business cycle.
Author: Gary Gorton
Publisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 41
Get Book Here
Book Description
We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.
Author: Robert N. Gordon
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
There has been an increased interest in commodity investments in the last 18 months. It may be due to an increased fear of inflation, reduced expectations for 'traditional' asset classes, or the recent publication of academic work that concludes commodities can and should be used in a broad asset allocation framework.In June of 2004, the Yale International Center for Finance released 'Facts and Fantasies About Commodity Futures'. The study (covering the time period between July 1959 and March 2004) further found that 'while the risk premium on commodity futures is essentially the same as equities, commodity futures are negatively correlated with equity returns and bond returns.' In addition, these returns are 'positively correlated with inflation, unexpected inflation, and changes in expected inflation.' Given the returns available and the negative correlation to 'traditional' assets, it is not surprising to find that there is estimated to be $50 billion in commodity-linked indexes and products (The Wall Street Journal, March 16, 2005). So what exactly is the best way to implement the decision to invest in commodities? Should you buy the physical commodities themselves or companies that produce and own commodities? How about giving money to a Commodity Trading Advisor, or investing in a passive commodity index? What index should be used and what investment tools are available tied to those indexes and how are they taxed?
Author: Goodbody & Company
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Get Book Here
Book Description
Author: United States. Commodity Futures Trading Commission
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 24
Get Book Here
Book Description
Author: Jerry Markham
Publisher: Praeger
ISBN:
Category : Business & Economics
Languages : en
Pages : 328
Get Book Here
Book Description
This book analyzes the impact of regulation on today's commodity futures trading market by examining the development and growth of both. It addresses the development of regulatory efforts and examines the regulated futures exchange, discusses the creation and development of the Commodity Futures Trading Commission, and focuses on the types of commodity interests that are traded and their regulation. Commodity interests include leverage contracts, commodity futures contracts and options, and foreign contracts. Including an examination of the problems faced by the government in its regulatory efforts, this important new work is an accessible and authoritative guide for anyone involved in the commodity futures market, including banks, businesses, speculators, and regulators.
Author: David Nicholas
Publisher: Burns & Oates
ISBN:
Category : Business & Economics
Languages : en
Pages : 164
Get Book Here
Book Description
Author: Jim Rogers
Publisher: John Wiley & Sons
ISBN: 0470015322
Category : Business & Economics
Languages : en
Pages : 272
Get Book Here
Book Description
The next bull market is here. It’s not in stocks. It’s not in bonds. It’s in commodities - and some smart investors will be riding that bull to record returns in the next decade. Before Jim Rogers hit the road to write his best-selling books Investment Biker and Adventure Capitalist, he was one of the world’s most successful investors. He co-founded the Quantum Fund and made so much money that he never needed to work again. Yet despite his success, Rogers has never written a book of practical investment advice - until now. In Hot Commodities, Rogers offers the low-down on the most lucrative markets for today and tomorrow. In late 1998, gliding under the radar, a bull market in commodities began. Rogers thinks it’s going to continue for at least fifteen years - and he’s put his money where his mouth is: In 1998, he started his own commodities index fund. It’s up 165% since then, with more than $200 million invested, and it’s the single-best performing index fund in the world in any asset class. Less risky than stocks and less sluggish than bonds, commodities are where the money is - and will be in the years ahead. Rogers’s strategies are simple and straightforward. You can start small - a few thousand dollars will suffice. It’s all about putting your money into stuff you understand, the basic materials of everyday life, like copper, sugar, cotton, corn, or crude oil. Once you recognize the cyclical and historical trading patterns outlined here, you’ll be on your way. In language that is both colourful and accessible, Rogers explains why the world of commodity investing can be one of the simplest of all - and how commodities are the bases by which investors can value companies, markets, and whole economies. To be a truly great investor is to know something about commodities. For small investors and high rollers alike, Hot Commodities is as good as gold . . . or lead, or aluminium, which are some of the commodities Rogers says could be as rewarding for investors.
Author: Takatoshi Ito
Publisher: University of Chicago Press
ISBN: 0226386899
Category : Business & Economics
Languages : en
Pages : 346
Get Book Here
Book Description
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470293209
Category : Business & Economics
Languages : en
Pages : 986
Get Book Here
Book Description
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
