Facts and Fantasies about Commodity Futures
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from Yale International Center for Finance :
Below is a link to a very thorough and interesting Academic Paper covering many aspects of Commodity Futures as an asset class. (written in June 2004)
42 pages, PDF file.
It includes :
- futures theory, risk premium ,spot vs futures, backwardation, contango, etc
- correlation with inflation.
- -compares returns with stocks & bonds during each phase of the economic cycle, etc.
- presents 3-D graphs of relative performance with other asset classes, spot/futures returns.
- examines CRB Index (commodity Resreach Bureau)
It is a very good piece background/reference material, well worth reading, as we look forward to 2005 and beyond, and the continuation of the Commodity Secular Bull Market of the 00's.
----------------------------------------------------------------
from Yale International Center for Finance :
Below is a link to a very thorough and interesting Academic Paper covering many aspects of Commodity Futures as an asset class. (written in June 2004)
42 pages, PDF file.
It includes :
- futures theory, risk premium ,spot vs futures, backwardation, contango, etc
- correlation with inflation.
- -compares returns with stocks & bonds during each phase of the economic cycle, etc.
- presents 3-D graphs of relative performance with other asset classes, spot/futures returns.
- examines CRB Index (commodity Resreach Bureau)
It is a very good piece background/reference material, well worth reading, as we look forward to 2005 and beyond, and the continuation of the Commodity Secular Bull Market of the 00's.
