Facts and Fantasies about Commodity Futures Ten Years Later

摘要: 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 had historically offered same return Sharpe ratio as U.S. equities, but were negatively correlated with stocks bonds. Reviewing these results ten years later, we find our conclusions largely hold up out-of-sample. The in- out-of-sample average risk premiums are not significantly different, nor is cross-sectional relationship between basis. Correlations among commodities correlations other assets experienced a temporary increase during financial crisis which in line historical experience of variation business cycle.