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1、TheRodneyL.WhiteCenterforFinancialResearchFactsandFantasiesaboutCommodityFuturesGaryGortonK.GeertRouwenhorst04-05∗FactsandFantasiesaboutCommodityFuturesGaryGortonTheWhartonSchool,UniversityofPennsylvaniaandNationalBureauofEconomicResearchandK.GeertRouwenhorstS
2、choolofManagement,YaleUniversityJune2004ThisDraft:February28,2005AbstractWeconstructanequally-weightedindexofcommodityfuturesmonthlyreturnsovertheperiodbetweenJulyof1959andDecemberof2004inordertostudysimplepropertiesofcommodityfuturesasanassetclass.Fully-colla
3、teralizedcommodityfutureshavehistoricallyofferedthesamereturnandSharperatioasequities.Whiletheriskpremiumoncommodityfuturesisessentiallythesameasequities,commodityfuturesreturnsarenegativelycorrelatedwithequityreturnsandbondreturns.Thenegativecorrelationbetwee
4、ncommodityfuturesandtheotherassetclassesisdue,insignificantpart,todifferentbehavioroverthebusinesscycle.Inaddition,commodityfuturesarepositivelycorrelatedwithinflation,unexpectedinflation,andchangesinexpectedinflation.*WethankDimitryGupaloandMissakaWarusawitha
5、ranaforresearchassistance,andAIGFinancialProductsandtheQ-Groupforfinancialsupport.MichaelCroweoftheLondonMetalsExchange,ChrisLownoftheCommoditiesResearchBureau(CRB),andJohnPowellofReuterswerehelpfulwiththedata.Thepaperhasbenefitedfromcommentsandsuggestionsfrom
6、MikeBazdarich,ClaudeErb,KenFrench,RobertGreer,JonIngersoll,KelleyKirklin,JosLemmons,DanielNash,AnttiPetajisto,JeremySiegel,FrankStrohm,AmirYaron,theassociateeditorandtwoanonymousreferees.1.IntroductionCommodityfuturesarestillarelativelyunknownassetclass,despit
7、ebeingtradedinthe1U.S.forover100yearsandelsewhereforevenlonger.Thismaybebecausecommodityfuturesarestrikinglydifferentfromstocks,bonds,andotherconventionalassets.Amongthesedifferencesare:(1)commodityfuturesarederivativesecurities;theyarenotclaimsonlong-livedcor
8、porations;(2)theyareshortmaturityclaimsonrealassets;(3)unlikefinancialassets,manycommoditieshavepronouncedseasonalityinpricelevelsandvolatilities.Anotherreasonthatcommodityfuturesa
