Commodities in asset management

Nadeshda Demidova-Menzel and Thomas Heidorn

No 81, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

Abstract: The investment in commodities is starting to be more important during the last years. The paper describes the characteristics of financially important commodities. In many cases a passive investment in an index is most suitable. As the GSCI is found to be the most important, its underlying futures are analyzed. The change of risk-return relationships in equity and bond portfolios including commodities is discussed. The paper shows that the effects differ substantially during different holding periods. Especially during times of high inflation and strong equity markets, commodities were a sensible addition. Still, the total performance from 1976 to 2006 was not convincing. This paper reveals that the performance does not mainly depend on the spot return but more on roll and collateral return.

Keywords: Commodities; investable commodities; commodity future; commodity index; GSCI; portfolio optimization with commodities; spot return; roll return; collateral return (search for similar items in EconPapers)
JEL-codes: G11 G15 G24 (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/27848/1/577675052.PDF (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:81

Access Statistics for this paper

More papers in Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().