Chapter6大宗商品选编.pptVIP

大宗商品、股票与债券的累计表现1970年12月 = 100 大宗商品现货价格与通胀按1800－2010年间通胀目标制 1800－2010年间真实大宗商品现货价格 1914－2010年间真实大宗商品现货价格 可再生与非可再生能源价格 * 2000＝100 2000＝100 * * 1. Introduction ? 1.3 Types of Derivatives * * * Understanding Futures Markets Chapter 1 * Understanding Futures Markets Chapter 1 * * * About 8 years ago, Gary Gorton and I wrote a paper on commodity futures investing that among other things concluded that diversified portfolios of commodity futures could be used to diversify traditional portfolios of stocks and bonds, And that commodities had better inflation correlation properties than traditional assets such as stocks and bonds. * Much has been written about the diversification story, as the correlation with stocks has recently increased to about 75%. The inflation hedging properties are much less debated and generally assumed I would like to concentrate on the inflation story in the remainder of this talk. * We do have inflation since 1800: It is the Green Line Why is 200 interesting: inflation is largely recent phenomenon. We need more data to have variation in inflation regimes Note that prices in the Great depression revisited their levels from 1800. So over the first 130 years: no net inflation Episodes of Inflation associated with Wars: War 1812, Civil War, WWI How did commodities do? Orange line is a commodity index like Elisha Curtis: take equal quantities of commodities in the base year and follow value of the basket. Same story as inflation: revisited their levels of 1800 during the great depression Red line is a rebalanced index: just like many commodity indices. What do we find: the average commodity keeps up with inflation Commodities are more volatile than inflation A annually rebalanced index outperforms inflation What is the big deal? Did we not know know this? Many academic and practical studies suggest that commodities do not keep up with inflation Will spare you the details, but the best example is the Economist index, which suggests that real