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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2021
- Classification
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
Commodity Markets
- Subject
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Commodity futures
Diversification
Hedging
Financial crisis
Normal backwardation
- Event
-
Geistige Schöpfung
- (who)
-
Güntner, Jochen
Karner, Benjamin
- Event
-
Veröffentlichung
- (who)
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Johannes Kepler University of Linz, Department of Economics
- (where)
-
Linz
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Güntner, Jochen
- Karner, Benjamin
- Johannes Kepler University of Linz, Department of Economics
Time of origin
- 2020
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