Commodities for the Long Run / Ari Levine, Yao Hua Ooi, Matthew Richardson.

Format:

Book

Author/Creator:

Levine, Ari.

Contributor:

National Bureau of Economic Research.

Ooi, Yao Hua.

Richardson, Matthew.

Series:

Working Paper Series (National Bureau of Economic Research) no. w22793.

NBER working paper series no. w22793

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2016.

Summary:

This paper analyzes a novel data set of commodity futures prices over a long sample period starting in 1877, which allows us to shed new light on several important and controversial questions. We document that commodity futures returns (1) have been positive on average; (2) vary significantly across business cycles, inflation episodes, and periods of backwardation versus contango, (3) are driven mostly by variation of spot returns and therefore closely linked to the underlying commodity spot market; (4) perform well during inflation cycles and provide more return in backwardated states; and (5) display low correlation with stocks and bonds. These long-run stylized facts imply that commodity futures can add value to a diversified portfolio from an asset allocation perspective.

Notes:

Print version record

November 2016.