PT  - JOURNAL ARTICLE
AU  - Geetesh Bhardwaj
AU  - Gary B. Gorton
AU  - K. Geert Rouwenhorst
TI  - Investor Interest and the Returns to Commodity Investing
AID  - 10.3905/jpm.2016.42.3.044
DP  - 2016 Apr 30
TA  - The Journal of Portfolio Management
PG  - 44--55
VI  - 42
IP  - 3
4099  - https://pm-research.com/content/42/3/44.short
4100  - https://pm-research.com/content/42/3/44.full
AB  - The authors examine the behavior of monthly commodity futures returns over the decade since 2004, when new investor inflows entered the asset class. They find that average returns have been similar to their long-term historical means. Correlations among commodities and commodity–equity correlations temporarily increased around the financial crisis, but have since returned to normal. This variation is linked to the business cycle rather than the financialization of the asset class.TOPICS: Futures and forward contracts, volatility measures