PT  - JOURNAL ARTICLE
AU  - Tobias Fethke
AU  - Marcel Prokopczuk
TI  - Is Commodity Index Investing Profitable?
AID  - 10.3905/jii.2018.1.064
DP  - 2018 Nov 30
TA  - The Journal of Index Investing
PG  - 37--71
VI  - 9
IP  - 3
4099  - https://pm-research.com/content/9/3/37.short
4100  - https://pm-research.com/content/9/3/37.full
AB  - 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.TOPICS: Commodities, passive strategies, performance measurement