Facts and Fantasies about Commodity Futures

Gary Gorton and K. Rouwenhorst

Yale School of Management Working Papers from Yale School of Management

Abstract: We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative

Date: 2004-06-01, Revised 2005-03-01
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