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Commodities in asset management

Author

Listed:
  • Demidova-Menzel, Nadeshda
  • Heidorn, Thomas

Abstract

The investment in commodities is starting to be more important during the last years. The paper describes the characteristics of financially important commodities. In many cases a passive investment in an index is most suitable. As the GSCI is found to be the most important, its underlying futures are analyzed. The change of risk-return relationships in equity and bond portfolios including commodities is discussed. The paper shows that the effects differ substantially during different holding periods. Especially during times of high inflation and strong equity markets, commodities were a sensible addition. Still, the total performance from 1976 to 2006 was not convincing. This paper reveals that the performance does not mainly depend on the spot return but more on roll and collateral return.

Suggested Citation

  • Demidova-Menzel, Nadeshda & Heidorn, Thomas, 2007. "Commodities in asset management," Frankfurt School - Working Paper Series 81, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:81
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    Citations

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    Cited by:

    1. Veiga, Carlos & Wystup, Uwe, 2008. "Closed formula for options with discrete dividends and its derivatives," CPQF Working Paper Series 16, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    2. Beyna, Ingo & Wystup, Uwe, 2011. "Characteristic functions in the Cheyette Interest Rate Model," CPQF Working Paper Series 28, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    3. Packham, Natalie & Schmidt, Wolfgang M., 2008. "Latin hypercube sampling with dependence and applications in finance," CPQF Working Paper Series 15, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    4. Wystup, Uwe, 2008. "Foreign exchange symmetries," CPQF Working Paper Series 9, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    5. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    6. Veiga, Carlos & Wystup, Uwe, 2010. "Ratings of structured products and issuers' commitments," CPQF Working Paper Series 26, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    7. Susanne Griebsch & Uwe Wystup, 2011. "On the valuation of fader and discrete barrier options in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 693-709.
    8. Detering, Nils & Weber, Andreas & Wystup, Uwe, 2010. "Return distributions of equity-linked retirement plans," CPQF Working Paper Series 27, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    9. Natalie Packham & Lutz Schloegl & Wolfgang M. Schmidt, 2013. "Credit gap risk in a first passage time model with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1871-1889, December.
    10. Wystup, Uwe, 2008. "Vanna-volga pricing," CPQF Working Paper Series 11, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    11. Almer, Thomas & Heidorn, Thomas & Schmaltz, Christian, 2008. "The dynamics of short- and long-term CDS-spreads of banks," Frankfurt School - Working Paper Series 95, Frankfurt School of Finance and Management.
    12. Esquível, Manuel L. & Veiga, Carlos & Wystup, Uwe, 2010. "Unifying exotic option closed formulas," CPQF Working Paper Series 23, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    13. Scholz, Peter & Walther, Ursula, 2010. "Investment certificates under German taxation: Benefit or burden for structured products' performance?," CPQF Working Paper Series 24, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    14. Reiswich, Dimitri & Tompkins, Robert, 2009. "Potential PCA interpretation problems for volatility smile dynamics," CPQF Working Paper Series 19, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    15. Bala Batavia & Nandakumar Parameswar & Cheick Wagué, 2012. "Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 33-48.
    16. Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M., 2009. "Credit dynamics in a first passage time model with jumps," CPQF Working Paper Series 21, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).

    More about this item

    Keywords

    Commodities; investable commodities; commodity future; commodity index; GSCI; portfolio optimization with commodities; spot return; roll return; collateral return;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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