The authors revisit the case for commodity futures a decade later, arguing the asset class still offers diversification and inflation sensitivity despite weaker post 2008 performance. They also push back on claims that commodities became “financialized,” noting correlations with equities remained historically modest through multiple market environments.
Facts and Fantasies about Commodity Futures Ten Years Later
Geetesh Bhardwaj
Research
30 Pages
Key Takeaways
Equity Like Returns: From 1959 to 2004, collateralized commodity futures outperformed T bills by roughly 5% annually with volatility slightly below the S&P 500.
Inflation Hedge Benefits: Commodity futures showed positive correlations with inflation, unexpected inflation, and changing inflation expectations across a 45 year sample spanning multiple economic cycles.
Diversification Characteristics: The equally weighted futures index maintained negative correlations with both stocks and bonds, despite delivering equity like returns over 540 monthly observations.
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