@article {Abanomey51, author = {Walid S. Abanomey and Ike Mathur}, title = {The Hedging Benefits of Commodity Futures in International Portfolio Diversification}, volume = {2}, number = {3}, pages = {51--62}, year = {1999}, doi = {10.3905/jai.1999.318904}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This study models the potential gains in the risk/return tradeoffs by including commodities futures into a portfolio of international stocks and bonds. We include commodity futures contract for several reasons. First, with commodities futures contracts, constant convenience yields may produce positive returns with zero correlations with stock and bond returns, thus providing diversification benefits. Second, the economies of some countries depend on commodities that they export, and the returns on these commodities may influence the returns from investing in the stocks and bonds from these countries. Third, commodity spot returns are inflation and interest rate related. They may be negatively related with stock and bond returns, thus providing a good hedge against the risk arising from investing in stocks and bonds. Fourth, the inclusion of commodities into a portfolio may provide investors more choices for diversifying their assets.}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/2/3/51}, eprint = {https://jai.pm-research.com/content/2/3/51.full.pdf}, journal = {The Journal of Alternative Investments} }