Commodities for the Long Run

被引：33

作者：

Levine, Ari ^{[1
]}

Ooi, Yao Hua ^{[1
]}

Richardson, Matthew ^{[1
,2
,3
]}

Sasseville, Caroline ^{[1
]}

机构：

[1] AQR Capital Management, Greenwich, CT 06830 USA

[2] NYU, Appl Econ, New York, NY 10003 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

FINANCIAL ANALYSTS JOURNAL | 2018年 / 74卷 / 02期

关键词：

INFLATION RISK PREMIA; HEDGING PRESSURE; EXPECTED INFLATION; FUTURES MARKETS; REAL RATES; RETURNS; PRICES;

D O I：

10.2469/faj.v74.n2.4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a novel dataset consisting of daily futures prices going back to 1877, we find that returns of commodity futures indexes have, on average, been positive over the long run. Although return premiums are associated with both carry and spot returns, commodity returns in different economic states (inflation up/down, expansion/recession) vary mostly as a result of moves in the underlying spot price. These economic states are important drivers of commodity returns, even after conditioning on whether commodity markets are in backwardation or contango. The evidence supports commodities as a potentially attractive asset class in portfolios of stocks and bonds.

引用

页码：55 / 68

页数：14

共 35 条

[1] The term structure of real rates and expected inflation [J].