On the role of commodity futures in portfolio diversification

2021 ◽  
Author(s):  
Hooi Hooi Lean ◽  
Duc Khuong Nguyen ◽  
Ahmet Sensoy ◽  
Gazi Salah Uddin
Keyword(s):  
Commodity Futures ◽  
Portfolio Diversification

Return Characteristics of Commodities

2018 ◽  
Author(s):  
Dianna Preece
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Institutional Investors ◽  
Financial Stress ◽  
Commodity Futures ◽  
Futures Contracts ◽  
The Subject ◽  
Diversified Portfolio

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

Forecasting equity returns: The role of commodity futures along the supply chain

2020 ◽  
Vol 41 (1) ◽  
pp. 46-71
Author(s):  
Chenchen Li ◽  
Chongfeng Wu ◽  
Chunyang Zhou
Keyword(s):  
Supply Chain ◽  
Equity Returns ◽  
Commodity Futures

The role of portfolio diversification in the hotel industry

2011 ◽  
Vol 6 (1) ◽  
pp. 24-45 ◽  
Author(s):  
Claudio Giannotti ◽  
Gianluca Mattarocci ◽  
Luca Spinelli
Keyword(s):  
Hotel Industry ◽  
Portfolio Diversification
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