PT  - JOURNAL ARTICLE
AU  - Mark S Rzepczynski
AU  - Cengiz Y. Belentepe
AU  - Wei Feng
AU  - Philip Lipsky
TI  - “Black Gold”—Trading Crude Oil for Greater Portfolio Efficiency
AID  - 10.3905/jai.2004.439643
DP  - 2004 Sep 30
TA  - The Journal of Alternative Investments
PG  - 44--50
VI  - 7
IP  - 2
4099  - https://pm-research.com/content/7/2/44.short
4100  - https://pm-research.com/content/7/2/44.full
AB  - Commodity markets have proven to be a significant portfolio diversifying asset. However, little work has been conducted as to the statistical significance of this addition. We compare the addition of a commodity index to a traditional portfolio of stocks and bonds against the alternative of adding crude oil futures to serve as a commodity diversifier. We find that the value of such a simplification may be significant. By reducing the number of commodities used to gain portfolio diversification, investors may gain liquidity and flexibility. We run a similar test for gold which has been considered a key commodity diversifier during the inflationary periods of the 1970s and 1980s.