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Facts and fantasies about commodity futures
For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6202 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2006 |
|---|---|
| Edisi | Vol. 62, No. 2, Mar. - Apr., 2006 |
| Subjek | Diversification Business cycle Commodity Futures Risk premium inflation hedge normal backwardation |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 22 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |