Arbeitspapier
Is commodity index investing profitable?
Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide slightly increased portfolio Sharpe ratios but at the same time they are spanned by benchmark assets. For third generation commodity indices, the mean-variance spanning hypothesis is rejected but they show heterogenous out-of-sample performances. We thus present new evidence showing that the performance of the third generation of commodity indices is less clear-cut than found in existing studies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Hannover Economic Papers (HEP) ; No. 635
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
Commodities
Investing
Index
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fethke, Tobias
Prokopczuk, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fethke, Tobias
- Prokopczuk, Marcel
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2018
Ähnliche Objekte (12)
When is price discrimination profitable?
Profitable cannibalization
When unionisation is profitable for firms in network industries
Investing in crises
When Randomization in Collective Tournaments is Profitable for the Principal
Commodity connectedness
Is socially responsible investing just screening? Evidence from mutual funds
Commodity prices, commodity currencies, and global economic developments
Investing in Agricultural Supply
Clustering-based sector investing
Mit Sojaanbau profitabel Fruchtfolgen erweitern?
Why is China Investing in Africa? Evidence from the Firm Level
When is price discrimination profitable?
Profitable cannibalization
When unionisation is profitable for firms in network industries
Investing in crises
When Randomization in Collective Tournaments is Profitable for the Principal
Commodity connectedness
Is socially responsible investing just screening? Evidence from mutual funds
Commodity prices, commodity currencies, and global economic developments
Investing in Agricultural Supply
Clustering-based sector investing
Mit Sojaanbau profitabel Fruchtfolgen erweitern?
Why is China Investing in Africa? Evidence from the Firm Level
When is price discrimination profitable?
Profitable cannibalization
When unionisation is profitable for firms in network industries
Investing in crises
When Randomization in Collective Tournaments is Profitable for the Principal
Commodity connectedness
Is socially responsible investing just screening? Evidence from mutual funds
Commodity prices, commodity currencies, and global economic developments
Investing in Agricultural Supply
Clustering-based sector investing
Mit Sojaanbau profitabel Fruchtfolgen erweitern?