RT Journal Article
SR Electronic
T1 Is Commodity Index Investing Profitable?
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 37
OP 71
DO 10.3905/jii.2018.1.064
VO 9
IS 3
A1 Tobias Fethke
A1 Marcel Prokopczuk
YR 2018
UL https://pm-research.com/content/9/3/37.abstract
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