facts and fantasies about commodity futures gary gorton the wharton school university of pennsylvania national bureau economic research k geert rouwenhorst management yale june 2004 this draft february 28 2005 abstract we construct an equally weighted index monthly returns over period between july 1959 december in order to study simple properties as asset class fully collateralized have historically offered same return sharpe ratio equities while risk premium on is essentially are negatively correlated with equity bond negative correlation other classes due significant part different behavior business cycle addition positively inflation unexpected changes expected thank dimitry gupalo missaka warusawitharana for assistance aig financial products q group support michael crowe london metals exchange chris lown commodities crb john powell reuters were helpful data paper has benefited
