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.
We study the drivers of the correlation between stocks and commodities and find that it has a business cycle component
As has been widely noted, the recent stock-commodity correlation has visited the upper end of its historic range
Commodities investors increasingly have access to a wide range of sector-based products including energy, industrial metals, precious metals, agriculturals and many others - both broader and narrower.
We find evidence for five commodity sectors that naturally conform to the standard functional categorizations typically used by the investment industry (industrial metals, energy, precious metals, grains & oilseeds, and livestock).
This article explores the return characteristics of industrial metal futures. The specific metals examined are aluminum, copper, nickel, zinc, tin, and lead.
An evolution from passive to active indexes.
Commodity futuresí risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage.
Yale ICF Working Paper No. 07-08
We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class.
Yale ICF Working paper No 04-20
Published in: Financial Analysts Journal, 2006 (Mar/Apr), 47-68
This book is an introductory primer to the field of commodity investing. Topics include: historical commodity performance, aspects of constructing and evaluating approaches to commodity investing, and in-depth explanations of all the major commodities.
Wiley Finance, 2008, 290 pages