SummerHaven Investment Management, LLC
Soundview Plaza, 1266 East Main Street
Stamford, CT 06902
Institutional Affiliation: Rutgers University
Information about this author at RePEc
NBER Working Papers and Publications
|June 2015||Facts and Fantasies about Commodity Futures Ten Years Later|
with , : w21243
Gorton and Rouwenhorst (2006) examined commodity futures returns over the period July 1959 to December 2004 based on an equally-weighted index. They found that fully collateralized commodity futures had historically offered the same return and Sharpe ratio as U.S. equities, but were negatively correlated with the return on stocks and bonds. Reviewing these results ten years later, we find that our conclusions largely hold up out-of-sample. The in- and out-of-sample average commodity risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the basis. Correlations among commodities and commodity correlations with other assets experienced a temporary increase during the financial crisis which is in line with historical experience of ...
|October 2008||Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors|
with , : w14424
Investors face significant barriers in evaluating the performance of hedge funds and commodity trading advisors (CTAs). The only available performance data comes from voluntary reporting to private companies. Funds have incentives to strategically report to these companies, causing these data sets to be severely biased. And, because hedge funds use nonlinear, state-dependent, leveraged strategies, it has proven difficult to determine whether they add value relative to benchmarks. We focus on commodity trading advisors, a subset of hedge funds, and show that during the period 1994-2007 CTA excess returns to investors (i.e., net of fees) averaged 85 basis points per annum over US T-bills, which is insignificantly different from zero. We estimate that CTAs on average earned gross excess retur...
Published: Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2014. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," Review of Financial Studies, vol 27(11), pages 3099-3132.