Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27848
Authors: 
Demidova-Menzel, Nadeshda
Heidorn, Thomas
Year of Publication: 
2007
Series/Report no.: 
Working paper series // Frankfurt School of Finance & Management 81
Abstract: 
The investment in commodities is starting to be more important during the last years. The paper describes the characteristics of financially important commodities. In many cases a passive investment in an index is most suitable. As the GSCI is found to be the most important, its underlying futures are analyzed. The change of risk-return relationships in equity and bond portfolios including commodities is discussed. The paper shows that the effects differ substantially during different holding periods. Especially during times of high inflation and strong equity markets, commodities were a sensible addition. Still, the total performance from 1976 to 2006 was not convincing. This paper reveals that the performance does not mainly depend on the spot return but more on roll and collateral return.
Subjects: 
Commodities
investable commodities
commodity future
commodity index
GSCI
portfolio optimization with commodities
spot return
roll return
collateral return
JEL: 
G11
G15
G24
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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