Investors face numerous challenges when seeking to estimate the prospective performance
of a longonly investment in commodity futures. For instance, historically, the average …

This study measures the extent of financial contagion in the Indian asset markets. In specific
it shows the contagion in Indian commodity derivative market vis-à-vis bond, foreign …

Historically, commodity futures have had excess returns similar to those of equities. But what
should we expect in the future? The usual risk factors are unable to explain the time-series …

Direct commodity investment has historically been a minor part of investors' asset allocation.
In recent years, however, investible commodity indices and commodity-linked assets have …

Abstract Following the 2007/2008 financial crisis, the price effects of commodity
financialization have become an important research topic. We review the empirical …

We build a portfolio encompassing US crude oil, natural gas and stocks to study the
diversification power of energy commodities. Such diversification power depends on the …

We examine the diversification benefits of using individual futures contracts instead of simply
a commodity index. We determine the ex‐ante, ex‐post, and stability results for optimal M …

This study explores which asset classes add value to a traditional portfolio of stocks, bonds
and cash. Next, we determine the optimal weights of all asset classes in the optimal portfolio …

We utilize wavelet coherency methodology with simulated confidence bounds to examine
the short-term and long-term dependencies of the returns for S&P 500 and the S&P GSCI® …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …