Tactical asset allocation and commodity futures

Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer

Research output: Contribution to journalArticlepeer-review

76 Scopus citations


In this article the authors examine the diversification benefits of adding managed and unmanaged commodity futures to a traditional portfolio that consists of U.S. equities, foreign equities, corporate bonds, and Treasury bills From 1973 through 1999. Consistent with previous evidence, they find that commodity futures substantially enhance portfolio performance for investors, and managed futures provide the greatest benefit. They show that the benefits of adding commodity futures (both managed and unmanaged) accrue almost exclusively when the Federal Reserve is following a restrictive monetary policy. The results suggest that metals and agricultural futures contracts offer the most diversification benefits for investors. Overall, the findings indicate that investors should gauge monetary conditions to determine the optimal allocation of commodity futures within a portfolio, and whether a short or a long position should be established in a particular type of contract.

Original languageEnglish
Pages (from-to)100-111+6
JournalJournal of Portfolio Management
Issue number4
StatePublished - 2002


Dive into the research topics of 'Tactical asset allocation and commodity futures'. Together they form a unique fingerprint.

Cite this