Commodities in asset management

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Frankfurt School - Working Paper Series ; No. 81

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; International Financial Markets ; Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
• Subject: Commodities ; investable commodities ; commodity future ; commodity index ; GSCI ; portfolio optimization with commodities ; spot return ; roll return ; collateral return

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Demidova-Menzel, Nadeshda ; Heidorn, Thomas
• Event: Veröffentlichung
• (who): Frankfurt School of Finance & Management
• (where): Frankfurt a. M.
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/27848
• URN: urn:nbn:de:101:1-20080827282
• Last update: 10.03.2025, 11:44 AM CET