TY  - JOUR
AU  - Gorton,Gary
AU  - Rouwenhorst,K. Geert
TI  - Facts and Fantasies about Commodity Futures
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10595
PY  - 2004
Y2  - June 2004
UR  - http://www.nber.org/papers/w10595
L1  - http://www.nber.org/papers/w10595.pdf
N1  - Author contact info:
Gary B. Gorton
Yale School of Management
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
Fax: 203/432-8931
E-Mail: Gary.Gorton@yale.edu

K. Geert Rouwenhorst
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
E-Mail: k.rouwenhorst@yale.edu
M2  - featured in NBER digest on 2005-01-01
AB  - We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.
ER  -