Corps professoral et Recherche
Vous êtes ici : Corps professoral et Recherche > La Recherche > Publications EDHEC
Publications : Till H. - Structural Sources of Return and Risk in Commodity Futures Investments
Till, H. (Avril 2006) "Structural Sources of Return and Risk in Commodity Futures Investments", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. |
[
]
]Résumé
By now it has become well known that commodities have had superior performance over the past four and a half years. Figure 1 reviews just how superior that performance has been: from December 2001 through April 2006, the Goldman Sachs Commodity Index (GSCI) returned 23.1% per year while the S&P 500 returned a more modest 4.9% per year.
Given these returns, commodity investing has become a sign of sophistication. Commodities can give turbo returns if things go wrong for equities and bond markets, stated the chief investment officer of a large British pension plan, as quoted in Rees (2006). The significant growth in commodity index investing is shown in figure 2.
New commitments from pension funds have fueled some of this growth. Even normally cautious British pension funds are following the more adventurous US precedents and are allocating assets to commodities: the Sainsbury fund has targeted a 5% exposure, the British Telecom fund just under 3%. ... Global pension funds are estimated by investment consultants Watson Wyatt to be worth $16 trillion and if they, like the BT fund, were to allocate 3% to commodities, this would amount to $500bn cascading into what have been quite narrow markets, noted a Financial News (2006) story.
Because commodity index investing has grown from an obscure, niche strategy to a more widely accepted investment, there has been a need to better understand the drivers of historical commodity returns and risks. An investor would presumably then be in a better position to make informed judgments on the future prospects of a commodity investment.
This article will provide the busy reader with a summary of the new research on this topic.
Given these returns, commodity investing has become a sign of sophistication. Commodities can give turbo returns if things go wrong for equities and bond markets, stated the chief investment officer of a large British pension plan, as quoted in Rees (2006). The significant growth in commodity index investing is shown in figure 2.
New commitments from pension funds have fueled some of this growth. Even normally cautious British pension funds are following the more adventurous US precedents and are allocating assets to commodities: the Sainsbury fund has targeted a 5% exposure, the British Telecom fund just under 3%. ... Global pension funds are estimated by investment consultants Watson Wyatt to be worth $16 trillion and if they, like the BT fund, were to allocate 3% to commodities, this would amount to $500bn cascading into what have been quite narrow markets, noted a Financial News (2006) story.
Because commodity index investing has grown from an obscure, niche strategy to a more widely accepted investment, there has been a need to better understand the drivers of historical commodity returns and risks. An investor would presumably then be in a better position to make informed judgments on the future prospects of a commodity investment.
This article will provide the busy reader with a summary of the new research on this topic.
En savoir plus
Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu]
Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
[ haut de la page ]
Recevoir la Recherche
Rester informé sur les activités de la Recherche de l'EDHEC
Chiffres clés
Research Highlights
Le contrat unique
TVA Emploi
Programmes :
Theseus-EDHEC MBA
-
EDHEC Grande Ecole
-
Master in management
-
MSc in Finance
-
MSc in Capital Markets
-
MSc in Corporate Finance
-
MSc in Risk and Asset Management
-
MSc in Accounting & Management Control
-
MSc in Strategic Management
-
MSc in Marketing Management
-
Bachelor ESPEME
-
PhD in Finance
Formation Continue : EDHEC Executive - Executive MBA - IMARISC - Cycle Supérieur de Management CSM - CEVE (BADGE CIF, Conseil en Investissements financiers) - Intras - Mastère Commerce et Innovation dans la Mode - EDHEC Asset Management Education
Groupe EDHEC : Stratégie - Historique - Campus - Travailler à l'EDHEC - Espace Média - Pôles de Recherche - Chaires - Fondation EDHEC
Contact : Contactez-Nous
Formation Continue : EDHEC Executive - Executive MBA - IMARISC - Cycle Supérieur de Management CSM - CEVE (BADGE CIF, Conseil en Investissements financiers) - Intras - Mastère Commerce et Innovation dans la Mode - EDHEC Asset Management Education
Groupe EDHEC : Stratégie - Historique - Campus - Travailler à l'EDHEC - Espace Média - Pôles de Recherche - Chaires - Fondation EDHEC
Contact : Contactez-Nous