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Article

Protection Potential of Commodity Hedge Funds

Pierre Jeanneret, Pierre Monnin and Stefan Scholz
The Journal of Alternative Investments Winter 2011, 13 (3) 43-52; DOI: https://doi.org/10.3905/jai.2011.13.3.043
Pierre Jeanneret
is head of quantitative research at Man Multi-Manager Business in Pfaeffikon, Switzerland.
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  • For correspondence: pjeanneret@maninvestments.com
Pierre Monnin
is a senior economist at Swiss National Bank in Zurich, Switzerland.
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  • For correspondence: pierre.monnin@snb.ch
Stefan Scholz
is COO and head of research at Man Systematic Strategies in Pfaeffikon, Switzerland.
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  • For correspondence: sscholz@maninvestments.com
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Abstract

In this article, the authors show that investing in a portfolio of commodity hedge funds yields higher returns and a better control of downside risk than investing in long-only commodity indices. They also show that, contrary to a widespread belief, long-only commodity indices do not necessarily provide an efficient inflation hedge during periods of high inflation and may induce a cost in low inflation periods. Commodity hedge funds do not provide a better hedge in periods of high inflation but they do not bear any cost in low inflation periods.

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The Journal of Alternative Investments: 13 (3)
The Journal of Alternative Investments
Vol. 13, Issue 3
Winter 2011
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Protection Potential of Commodity Hedge Funds
Pierre Jeanneret, Pierre Monnin, Stefan Scholz
The Journal of Alternative Investments Dec 2010, 13 (3) 43-52; DOI: 10.3905/jai.2011.13.3.043

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Protection Potential of Commodity Hedge Funds
Pierre Jeanneret, Pierre Monnin, Stefan Scholz
The Journal of Alternative Investments Dec 2010, 13 (3) 43-52; DOI: 10.3905/jai.2011.13.3.043
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  • Article
    • Abstract
    • INVESTING IN COMMODITY HEDGE FUNDS IS DIFFERENT FROM INVESTING IN COMMODITIES
    • DATA
    • PERFORMANCE OF COMMODITY HEDGE FUNDS
    • DOWNSIDE PROTECTION OF COMMODITY HEDGE FUNDS
    • INFLATION PROTECTION OF COMMODITY HEDGE FUNDS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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