@article {Rzepczynski44, author = {Mark S Rzepczynski and Cengiz Y. Belentepe and Wei Feng and Philip Lipsky}, title = {{\textquotedblleft}Black Gold{\textquotedblright}{\textemdash}Trading Crude Oil for Greater Portfolio Efficiency}, volume = {7}, number = {2}, pages = {44--50}, year = {2004}, doi = {10.3905/jai.2004.439643}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Commodity markets have proven to be a significant portfolio diversifying asset. However, little work has been conducted as to the statistical significance of this addition. We compare the addition of a commodity index to a traditional portfolio of stocks and bonds against the alternative of adding crude oil futures to serve as a commodity diversifier. We find that the value of such a simplification may be significant. By reducing the number of commodities used to gain portfolio diversification, investors may gain liquidity and flexibility. We run a similar test for gold which has been considered a key commodity diversifier during the inflationary periods of the 1970s and 1980s.}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/7/2/44}, eprint = {https://jai.pm-research.com/content/7/2/44.full.pdf}, journal = {The Journal of Alternative Investments} }