The strategic and tactical value of commodity futures

CB Erb, CR Harvey - Financial Analysts Journal, 2006 - Taylor & Francis
Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

Should investors include commodities in their portfolios after all? New evidence

C Daskalaki, G Skiadopoulos - Journal of Banking & Finance, 2011 - Elsevier
This paper investigates whether an investor is made better off by including commodities in a
portfolio that consists of traditional asset classes. First, we revisit the posed question within …

On the diversification benefits of commodities from the perspective of euro investors

J Belousova, G Dorfleitner - Journal of Banking & Finance, 2012 - Elsevier
This paper investigates the diversification contribution of several commodities to a portfolio
of traditional assets from the perspective of a euro investor. The approach applied in our …

Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies

W Bessler, D Wolff - Journal of Banking & Finance, 2015 - Elsevier
An essential motive for investing in commodities is to enhance the performance of portfolios
traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample …

Asymmetric volatility in the gold market

DG Baur - The Journal of Alternative Investments, 2012 - search.proquest.com
The volatility of equity returns generally exhibits an asymmetric reaction to positive and
negative shocks. Economic explanations for this phenomenon are leverage and a volatility …

Financial contagion and volatility spillover: An exploration into Indian commodity derivative market

RP Roy, SS Roy - Economic Modelling, 2017 - Elsevier
This study measures the extent of financial contagion in the Indian asset markets. In specific
it shows the contagion in Indian commodity derivative market vis-à-vis bond, foreign …

Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches

W Bessler, H Opfer, D Wolff - The European Journal of Finance, 2017 - Taylor & Francis
The Black–Litterman model aims to enhance asset allocation decisions by overcoming the
problems of mean-variance portfolio optimization. We propose a sample-based version of …

How should individual investors diversify? An empirical evaluation of alternative asset allocation policies

H Jacobs, S Müller, M Weber - Journal of Financial Markets, 2014 - Elsevier
This paper evaluates numerous diversification strategies as a possible remedy against
widespread costly investment mistakes of individual investors. Our results reveal that a very …

The tactical and strategic value of commodity futures

CB Erb, CR Harvey - 2005 - nber.org
Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …

Combining momentum with reversal in commodity futures

RJ Bianchi, ME Drew, JH Fan - Journal of Banking & Finance, 2015 - Elsevier
This paper examines profitable trading strategies that jointly exploit momentum and reversal
signals in commodity futures. While the single-sort momentum strategies returns 11.14% per …