RT Journal Article
SR Electronic
T1 Practical Applications of Spicing Up a Portfolio with Commodity Futures: <em>Still a Good Recipe?</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.5.3.246
VO 5
IS 3
A1 Robert T. Daigler
A1 Brice Dupoyet
A1 Leyuan You
YR 2018
UL https://pm-research.com/content/5/3/1.4.abstract
AB As investors surged into commodity markets seeking stability in the aftermath of the financial crisis, correlations between equity markets and commodity futures increased, casting doubt on their ability to consistently provide the robust returns associated with their assumed low correlations.However, in Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?, Robert Daigler, Brice Dupoyet of Florida International University and Leyuan You of Texas State University find that a portfolio of individual commodity and equity futures is able to outperform an equity portfolio in terms of risk and return, during both equity and commodity bull and bear market periods.