Characteristics and Performance of Commodity Indexes

• 발행기관: 한국농식품정책학회
• 저자명: Byung-Sam Yoon B. Wade Brorsen
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 39권 4호, 521~539쪽, 전체 19쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2012.12.31

영문 초록

Investment products based on futures-based commodity indexes are thriving in recent years. However, the index methodology and performance characteristics of these commodity indexes are not well understood by investors. This study reviews and analyzes four major investable commodity indexes: S&P Goldman Sachs Commodity Index (S&P GSCI), Dow Jones-UBS Commodity Index (DJ-UBSCI), Thomson Reuters/Jefferies CRB Index (TR/J CRB) and Rogers International Commodity Index (RICI). The results from risk and return analysis show that the RICI, the most diverse commodity index, has the best performance over various investment horizons. The S&P GSCI, an energy-focused index, has the highest volatility, and the DJ-UBSCI, a broad-based index with weighting constraints, has the lowest volatility. Commodity indexes are closely related to each other, and the commodity indexes have a weak positive correlation with the S&P 500 equity index. Johansen cointegration tests show that the four major commodity indexes are distinct from one another and serve different purposes.

목차

Ⅰ. Introduction

Ⅱ. Index Methodology of Major Commodity Indexes

Ⅲ. Data

Ⅳ. Procedures

Ⅴ. Results

Ⅵ. Conclusions

키워드

Commodity Index Return Volatility Correlation Unit Root Cointegration