Efficient use of commodity futures in diversified portfolios

By Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer. 2000

180 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f6af30192f792e5ceaf66c83f37f177d4d78af19

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

On the diversification benefits of commodities from the perspective of euro investors (2012, result): “In contrast to this, Jensen et al. (2000, 2002) purport that the diversification benefits of commodity investments only exist during restrictive phases of the monetary cycle.”
Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “Several studies also find that by including commodities, the efficient frontier of stock-bond portfolios improved (for instance, Satyanarayan and Varangis 1996; Abanomey and Mathur 1999; Anson 1999; Jensen, Johnson, and Mercer 2000).”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “Jensen et al. (2000) also find that including commodities in a traditional asset universe improves the risk-return profile of the efficient portfolios over the period 1973-1997.”
The Strategic and Tactical Value of Commodity Futures (2006, background): “Jensen et al. (2000, 2002) found that the GSCI outperformed stocks and bonds when their measure (now discontinued) of U.S. Federal Reserve monetary policy rose. Strongin and Petsch found that GSCI returns were tied to current economic conditions; when inflation rose, the GSCI had above-average retur”
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, unknown): “The strategic appeal of commodity indices comes from their equity-like return, their inflation-hedging properties and their role for risk diversification (Greer, 1978; Bodie and Rosansky, 1980; Jensen et al ., 2000; Erb and Harvey, 2006; Gorton and Rouwenhorst, 2006; Chong and Miffre, 2010).”