TY - JOUR T1 - Role of Crude Oil Futures in Financial Portfolios under Financialization JF - The Journal of Alternative Investments SP - 64 LP - 89 DO - 10.3905/jai.2022.1.159 VL - 24 IS - 4 AU - Takashi Kanamura Y1 - 2022/03/31 UR - https://pm-research.com/content/24/4/64.abstract N2 - This article analyzes the changes in the roles of crude oil futures in financial portfolios due to financialization. To examine the changes, we propose a new dynamic market model between stock and crude oil futures prices, and a new dynamic allocation model of optimal portfolios, by considering the impact of financialization on crude oil markets. Our results show that before crude oil financialization, the optimal positions in S&P 500 varied with time, while those in WTI and Brent crude oil futures stayed almost at the same levels, implying diversification effects from crude oil futures for financial assets. However, after the financialization, the optimal positions of crude oil, particularly WTI futures, decreased chronologically. The parallel shifts of long S&P 500 and short crude oil futures positions may suggest the realization of cash and carry strategies using crude oil futures instead of S&P 500 futures. The role of crude oil futures in financial portfolios can change from diversification to cash and carry arbitrage due to financialization. ER -