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Publication : James Chong ; Joëlle Miffre - Conditional Return Correlations between Commodity Futures and Traditional Assets


Chong J., J. Miffre (Avril 2008) " Conditional Return Correlations between Commodity Futures and Traditional Assets ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper.


Résumé

The article studies the temporal variations in the conditional return correlations between commodity futures and traditional asset classes (global stock and fixed-income indices). We reveal that the conditional correlations between commodity futures and S&P500 returns fell over time, a sign that commodity futures have become better tools for strategic asset allocation. The correlations with equity returns also fell in periods of above average volatility in equity markets. We see this as welcome news to long institutional investors as they need the benefits of diversification most in periods of high volatility in equity markets. Similarly, falls in return correlations between commodity futures and Treasury-bills go hand in hand with rises in short-term interest volatility, suggesting that adding commodity futures to Treasury-bill portfolios reduces risk further in volatile interest rate environments.

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Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

EDHEC_Working_Paper_Conditional_Return_Correlations_between_Commodity_Futures_and_Traditional_Assets
[Texte intégral - PDF - En anglais
17 pages - 1,24 Mo]

rédigé par STEPHANE COLOMBANI
mise à jour le 1 septembre 2008

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