RT Journal Article
SR Electronic
T1 The Nature of Commodity Index Returns
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 45
OP 52
DO 10.3905/jai.2000.318924
VO 3
IS 1
A1 Robert J. Greer
YR 2000
UL https://pm-research.com/content/3/1/45.abstract
AB The idea of diversifying a portfolio by adding an unleveraged, long–only commodity index has been around for a long time. But only in the last few years have institutions actually started to take advantage of this asset class. Returns have historically been comparable to equities in magnitude and volatility, but with more positive skew. Those returns have been negatively correlated with stock and bond returns. If there were fundamental reasons to expect this pattern of returns to continue, then this asset class obviously could expand the efficient frontier of a portfolio.