In September of 2019, Geert and members of SummerHaven’s research team published “The Commodity Futures Risk Premium: 1871-2018”, which was the culmination of a research project that lasted for 5 years. This project involved the creation of a proprietary database of daily commodity futures prices going back to 1871. The following interactive charts illustrate some of the properties of a commodities futures investment. You can click on specific regions of the chart to zoom in or select specific periods by clicking on the text boxes above the chart.
Private Equity Replication
SummerHaven launched a Private Equity Replication Index in 2017. This Index is constructed under the premise that an investor is able to reproduce Private Equity (PE) returns by carefully choosing a portfolio of publicly traded equities with specific characteristics as identified by Eric Stafford. A portfolio constructed using this Index captures investment returns which are similar to PE but without the necessity of paying for takeover premium and corporate restructuring. The charts below illustrate some of the characteristics of the Index over various time periods and has been backfilled to 2000.