Are commodity futures a good hedge against inflation
Document Type
Article
Source of Publication
SSRN Electronic Journal
Publication Date
1-1-2010
Abstract
This study assesses the hedging properties of commodity futures across three dimensions: market, investment horizon and time. Measured over the full sample period (1970-2011), commodity futures show significant ability to hedge US inflation, especially for investment horizons of at least one year. Particularly commodity futures in the markets energy, industrial metals, and live cattle have favorable hedging properties. However, the hedging capacity exhibits substantial variation over time. It has been increasing since the early 1980s and reaches an historical high towards the end of the sample period. Although we establish significant hedging ability for commodity futures indices, we observe a trade-off between the reduction in real return portfolio variance realized by adding commodity futures indices to the portfolio and the expected real portfolio return.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
3
First Page
35
Last Page
57
Disciplines
Business
Recommended Citation
Spierdijk, Laura and Umar, Zaghum, "Are commodity futures a good hedge against inflation" (2010). All Works. 543.
https://zuscholars.zu.ac.ae/works/543
Indexed in Scopus
no
Open Access
no