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The Journal of Alternative Investments

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Primary Article

The Nature of Commodity Index Returns

Robert J. Greer
The Journal of Alternative Investments Summer 2000, 3 (1) 45-52; DOI: https://doi.org/10.3905/jai.2000.318924
Robert J. Greer
A vice president in the Global Commodities Group at The Chase Manhattan Bank. He is recognized as the first researcher to define an index of unleveraged commodities or to advocate it as a separate asset class suitable for institutional investors. He holds an MBA with honors from Stanford University.
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Abstract

The idea of diversifying a portfolio by adding an unleveraged, long–only commodity index has been around for a long time. But only in the last few years have institutions actually started to take advantage of this asset class. Returns have historically been comparable to equities in magnitude and volatility, but with more positive skew. Those returns have been negatively correlated with stock and bond returns. If there were fundamental reasons to expect this pattern of returns to continue, then this asset class obviously could expand the efficient frontier of a portfolio.

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The Journal of Alternative Investments
Vol. 3, Issue 1
Summer 2000
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The Nature of Commodity Index Returns
Robert J. Greer
The Journal of Alternative Investments Jun 2000, 3 (1) 45-52; DOI: 10.3905/jai.2000.318924

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The Nature of Commodity Index Returns
Robert J. Greer
The Journal of Alternative Investments Jun 2000, 3 (1) 45-52; DOI: 10.3905/jai.2000.318924
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