Arbeitspapier
Hedging with commodity futures and the end of normal backwardation
Using the S&P GSCI and its five component sub-indices, we show that considering each commodity separately yields nontrivial hedging gains in and out of sample. During 1999-2019, the maximum Sharpe ratio portfolio assigns positive weights to the GSCI Energy, Industrial and Precious Metals, whereas only precious metals enter the optimal portfolio after the financial crisis. In out-of-sample optimizations based on dynamic conditional correlations, a subset of commodity futures excluding the GSCI Agriculture and Livestock outperforms conventional stock-bond portfolios with and without the overall GSCI. We argue that the "normal backwardation" in commodity markets has broken down during our sample period.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2021
- Klassifikation
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
Commodity Markets
- Thema
-
Commodity futures
Diversification
Hedging
Financial crisis
Normal backwardation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Güntner, Jochen
Karner, Benjamin
- Ereignis
-
Veröffentlichung
- (wer)
-
Johannes Kepler University of Linz, Department of Economics
- (wo)
-
Linz
- (wann)
-
2020
- 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
- Güntner, Jochen
- Karner, Benjamin
- Johannes Kepler University of Linz, Department of Economics
Entstanden
- 2020
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