For this study of the simple properties of commodity futures as an asset class, an equally
weighted index of monthly returns of commodity futures was constructed for the July 1959 …

Increased financial integration between countries and the financialization of commodity
markets are providing investors with new ways to diversify their investment portfolios. This …

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 …

This paper examines the combined role of momentum and term structure signals for the
design of profitable trading strategies in commodity futures markets. With significant …

The article studies the conditional correlations between 25 commodity futures and 13 stock
and fixed-income indices. Conditional correlations with equity returns fell over time, a sign …

Pension plans have frequently sought partial insulation from inflation effects by devoting a
fraction of their portfolios to real assets. The asset of choice has traditionally been real …

With the recent increase in equity volatility, commodity investments have garnered
significant attention from investors. Previous research has found substantial benefits …

Direct commodity investment has historically been a minor part of investors' asset allocation.
In recent years, however, investible commodity indices and commodity-linked assets have …

This paper evaluates the role that index funds have played in recent convergence problems
of Chicago Board of Trade corn, soybean, and wheat futures contracts. These new market …

This paper investigates the role of precious metals in risk management (diversification,
hedging, safe haven, leading and lagging roles) in the stock markets of BRICS-T (Brazil …