Reference Materials

Reference Materials

  • The Commodity Futures Risk Premium: 1871–2018

    Geetesh Bhardwaj, SummerHaven Investment Management

    Rajkumar Janardanan, SummerHaven Investment Management

    K. Geert Rouwenhorst, Yale School of Management – International Center for Finance

    Using a novel comprehensive database of 230 commodity futures that traded between 1871 and 2018, we document that futures prices have on average been set at a discount to future spot prices by about 5%. The historical risk premium is robust across commodity sectors and varies with the state of the economy, inflation and the level of scarcity.

  • The First Commodity Futures Index of 1933

    Geetesh Bhardwaj, SummerHaven Investment Management

    Rajkumar Janardanan, SummerHaven Investment Management

    K. Geert Rouwenhorst, Yale School of Management – International Center for Finance

    We document the properties of the first diversified commodity futures index introduced by the Dow Jones Company in 1933, and use its live track record to study the properties of the asset class in an experimental setting that does not suffer from backfill, selection, or survivorship biases.

  • Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

    Erik Stafford

    Private equity funds tend to select relatively small firms with low EBITDA multiples. Publicly
    traded equities with these characteristics have high risk-adjusted returns after controlling for common
    factors typically associated with value stocks. Hold-to-maturity accounting of portfolio net asset value
    eliminates the majority of measured risk.

  • INVESTOR INTEREST AND THE RETURNS TO COMMODITY INVESTING

    Geetesh Bhardwaj, SummerHaven Investment Management

    Gary B. Gorton, Yale School of Management; National Bureau of Economic Research (NBER)

    K. Geert Rouwenhorst, Yale School of Management – International Center for Finance

    The authors examine the behavior of monthly commodity futures returns over the decade since 2004, when new investor inflows entered the asset class. They find that average returns have been similar to their long-term historical means. Correlations among commodities and commodity–equity correlations temporarily increased around the financial crisis, but have since returned to normal. This variation is linked to the business cycle rather than the financialization of the asset class.

  • FACTS AND FANTASIES ABOUT COMMODITY FUTURES TEN YEARS LATER

    Geetesh Bhardwaj, SummerHaven Investment Management

    Gary B. Gorton, Yale School of Management; National Bureau of Economic Research (NBER)

    K. Geert Rouwenhorst, Yale School of Management – International Center for Finance

    Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with the return on stocks and bonds. Reviewing these results ten years later, we find that our conclusions largely hold up out-of-sample.

  • THE BUSINESS CYCLE AND THE CORRELATION BETWEEN STOCKS AND COMMODITIES

    Geetesh Bhardwaj and Adam Dunsby

    We study the drivers of the correlation between stocks and commodities and find that it has a business cycle component

  • OF COMMODITIES AND CORRELATIONS

    Geetesh Bhardwaj and Adam Dunsby

    As has been widely noted, the recent stock-commodity correlation has visited the upper end of its historic range

  • USCF WEBCAST: AGRICULTURE INVESTING: MARKET FUNDAMENTALS & OPPORTUNITIES

    John T. Hyland, CFA, USCF Chief Investment Officer

    Kurt Nelson, Partner at SummerHaven Investment Management

    As has been widely noted, the recent stock-commodity correlation has visited the upper end of its historic range

  • COMMODITIES SECTORS AND THE BUSINESS CYCLE

    Geetesh Bhardwaj and Adam Dunsby

    Commodities investors increasingly have access to a wide range of sector-based products including energy, industrial metals, precious metals, agriculturals and many others – both broader and narrower.

  • HOW MANY COMMODITY SECTORS ARE THERE, AND HOW DO THEY BEHAVE?

    Geetesh Bhardwaj and Adam Dunsby

    We find evidence for five commodity sectors that naturally conform to the standard functional categorizations typically used by the investment industry (industrial metals, energy, precious metals, grains & oilseeds, and livestock).

  • PRESENTATION FOR MARCH 2012 COPPER WEBINAR

    John T. Hyland, CFA, USCF Chief Investment Officer

    K. Geert Rouwenhorst, Ph.D., School of Management, Yale University

    Copper: market fundamentals and investing

  • INDUSTRIAL METALS AS INVESTMENT

    Geetesh Bhardwaj and Adam Dunsby

    This article explores the return characteristics of industrial metal futures. The specific metals examined are aluminum, copper, nickel, zinc, tin, and lead.

  • A BRIEF HISTORY OF COMMODITIES INDEXES

    Adam Dunsby and Kurt Nelson

    An evolution from passive to active indexes.

  • THE FUNDAMENTALS OF COMMODITY FUTURES RETURNS

    Gary B. Gorton, School of Management, Yale University and National Bureau of Economic Research

    Fumio Hayashi, Hitotsubashi University and National Bureau of Economic Research

    K. Geert Rouwenhorst, School of Management, Yale University

    Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage.

    Yale ICF Working Paper No. 07-08

  • FACTS AND FANTASIES ABOUT COMMODITY FUTURES

    Gary B. Gorton, School of Management, Yale University and National Bureau of Economic Research

    K. Geert Rouwenhorst, School of Management, Yale University

    We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class.

    Yale ICF Working paper No 04-20
    Published in: Financial Analysts Journal, 2006 (Mar/Apr), 47-68