Investment performance of public commodity pools: 1979‐1990

Scott H. Irwin · Terry R. Krukemyer · Carl Zulauf

30 citations0/0 files storedJournal of Futures Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

This study investigates performance of public commodity pools both as a single randomly-selected pool and a market portfolio of pools over the 1979-1989 period. A market portfolio of public commodity pools provides superior investment performance relative to a randomly-selected pool. However, in general, this study provides no evidence that even a market portfolio of commodity pools is an attractive stand-alone investment. Nevertheless, there is some evidence that public commodity pools may improve the risk-return performance of a stock-bond portfolio. This evidence is conditional on the time period analyzed. Furthermore, a portfolio analysis is conducted using the lower brokerage, management, and incentive fees paid by institutional investors in commodity pools. The analysis reveals a substantial increase in the diversification benefits of adding commodity pools to a stock-bond portfolio. This suggests that the costs of public commodity pools form a significant deterrent to wider inclusion in investment portfolios.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 30 citations exist upstream.

References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1980On the Impossibility of Informationally Efficient Markets 1978Some anomalous evidence regarding market efficiency

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.