Should investors include commodities in their portfolios after all? New evidence
Daskalaki, Charoula and Skiadopoulos, George. (2011) Should investors include commodities in their portfolios after all? New evidence. Journal of Banking & Finance, Vol.35 (No.10). pp. 2606-2626. ISSN 0378-4266Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.jbankfin.2011.02.022
This paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes. First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. Then, we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out-of-sample performance. Under the in-sample setting, we find that commodities are beneficial only to non-mean-variance investors. However, these benefits are not preserved out-of-sample. Our findings challenge the alleged diversification benefits of commodities and are robust across a number of performance evaluation measures, utility functions and datasets. The results hold even when transaction costs are considered and across various sub-periods. Not surprisingly, the only exception appears over the 2005-2008 unprecedented commodity boom period.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HF Commerce
H Social Sciences > HG Finance
|Divisions:||Faculty of Social Sciences > Warwick Business School|
|Library of Congress Subject Headings (LCSH):||Asset allocation, Commodity futures, Capitalists and financiers|
|Journal or Publication Title:||Journal of Banking & Finance|
|Publisher:||Elsevier Science BV|
|Official Date:||October 2011|
|Page Range:||pp. 2606-2626|
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