Performance Measurement of Commodity Investments

Adam Zaremba ()

Chapter Chapter Five in The Financialization of Commodity Markets, 2015, pp 159-188 from Palgrave Macmillan

Abstract: Abstract It is necessary to select appropriate measures to properly and fairly evaluate the validity of investment in commodity indices and managed futures. In the literature, there is a wide range of measures that are used for assessment of the financial investments. Those most commonly used, however, have been built for traditional asset classes (stocks, bonds, etc.), so they are not always fully suitable for the evaluation of alternative investments. Nonetheless, generally, the more recent measures are also not free from defects.

Keywords: Risk Premium; Hedge Fund; Efficient Frontier; Sharpe Ratio; Asset Class (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-47639-5_5

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DOI: 10.1057/9781137476395_5

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