The Strategic and Tactical Value of Commodity Futures

  title={The Strategic and Tactical Value of Commodity Futures},
  author={Claude B. Erb and Campbell R. Harvey},
Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess return of the average individual commodity futures has been approximately zero and commodity futures returns have been largely uncorrelated with one another. The prospective annualized excess return of a rebalanced portfolio of commodity futures, however, can be “equity-like.” Some security… CONTINUE READING
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