TY - JOUR
T1 - Tactical asset allocation and commodity futures
AU - Jensen, Gerald R.
AU - Johnson, Robert R.
AU - Mercer, Jeffrey M.
PY - 2002
Y1 - 2002
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0036614257&partnerID=8YFLogxK
U2 - 10.3905/jpm.2002.319859
DO - 10.3905/jpm.2002.319859
M3 - Article
AN - SCOPUS:0036614257
SN - 0095-4918
VL - 28
SP - 100-111+6
JO - Journal of Portfolio Management
JF - Journal of Portfolio Management
IS - 4
ER -