The Strategic and Tactical Value of Commodity Futures

By Claude B. Erb, Campbell R. Harvey. 2006

1,010 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fa094265bd3a0ea3b07e156e227f52500af8fb0a

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Citations in the corpus

Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, background): “Erb and Harvey (2006) present some evidence to show that a portfolio of stocks and commodities can have higher returns and lower risk than a portfolio of stocks only.”
The Fundamentals of Commodity Futures Returns (2007, neutral): “In a number of recent papers, the risk premium is found to be related to past realizations of the excess return (Pirrong, 2005; Erb and Harvey, 2006; Miffre and Rallis, 2007; Shen, Szakmary, and Sharma, 2007), macroeconomic predictors as well as the basis (Szymanowska et al.”
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, positive): “17 Erb and Harvey (2006) define the diversification return as the difference between the compound return of a fixed-weight portfolio and the weighted average of the compound returns of the individual constituents of the portfolio.”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “Frank and Garcia (2011) find that livestock futures markets also benefited from lower liquidity costs with electronic trading.”
Index Investment and the Financialization of Commodities (2012, background): “…policymakers (see, e.g., Masters 2008; U.S. Senate Permanent Subcommittee on Investigations 2009) have expressed a strong concern that index investment as a form of financial speculation might have caused unwarranted increases in the cost of energy and food and induced excessive price volatility.”
Commodity and Equity Markets: Some Stylized Facts from a Copula Approach (2013, positive): “Chong and Miffre (2010) and Hong and Yogo (2009) reached similar conclusions over a more recent period and found an asymmetric dependence: the negative correlation is different in bearish and bullish markets (see also Buyuksahin et al. (2010), Kat and Oomen (2007), and Erb and Harvey (2006)).”
Index Funds, Financialization, and Commodity Futures Markets (2011, background): “Regardless of form, these instruments have a common goal – to provide investors with buy-side exposure to returns from a particular index of commodity prices.1 Several influential academic studies concluded that investors can capture substantial risk premiums and reduce portfolio risk through…”
Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies (2008, background): “Erb and Harvey (2006) suggest out that out-performance is not assured by just adding commodity futures to a portfolio, which implies that consideration needs to be given to the value that can be added by active management.”
Trend-following trading strategies in commodity futures: A re-examination (2010, background): “See, for example, Gorton and Rouwenhorst (2006) and Erb and Harvey (2006). Most closely related to this study, Shen, Szakmary and Sharma (2007) and Miffre and Rallis (2007) show that momentum strategies in commodity futures earn impressive returns that are too large to be subsumed by the relatively ”
Value and Momentum Everywhere: Value and Momentum Everywhere (2013, neutral): “Momentum is also found in currencies (Shleifer and Summers (1990), Kho (1996), LeBaron (1999)) and commodities (Erb and Harvey (2006), Gorton, Hayashi, and Rouwenhorst (2008)).”