RT Journal Article
SR Electronic
T1 The Relation Between Return and Volatility in the Commodity Markets
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 54
OP 62
DO 10.3905/jai.2001.318998
VO 4
IS 1
A1 Daniel G. Giamouridis
A1 Michael N. Tamvakis
YR 2001
UL https://pm-research.com/content/4/1/54.abstract
AB In this article, results indicate that the relation between return and volatility in the commodity markets is inverse of that observed in the stock markets. The implication is that if the commodity market returns are negatively correlated with those of traditional financial assets, the introduction of commodities in those portfolios may result in the diversification of risk. This may also allow fund managers to hedge their investment portfolios with commodities, thus avoiding the use of more complicated instruments such as options.