Posts Tagged ‘commodity

07
Sep
11

Paper: Diversificación, rebalanceo como soluciones…

Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Diversification return is an incremental return earned by a rebalanced portfolio of assets. The diversification return of a rebalanced portfolio is often incorrectly ascribed to a reduction in variance. We argue that the underlying source of the diversification return is the rebalancing, which forces the investor to sell assets that have appreciated in relative value and buy assets that have declined in relative value, as measured by their weights in the portfolio. In contrast, the incremental return of a buy-and-hold portfolio is driven by the fact that the assets that perform the best become a greater fraction of the portfolio. We use these results to resolve two puzzles associated with the Gorton and Rouwenhorst index of commodity futures, and thereby obtain a clear understanding of the source of the return of that index. Diversification return can be a significant source of return for any rebalanced portfolio of volatile assets.

Link al Paper

01
Aug
11

Gráfico du Jour: Julio ETFs

(Fuente: EconompicData)

09
Jun
11

¿rule of thumb para burbujas o nos ponemos a trabajar?

Sea por el IPO de Linkedin, los commodities u otro activo, la pregunta sobre cómo identificar -ex ante- una burbuja se transforma (cada tanto) en el Santo Grial.

En esta ocacion -y gracias a Abnormal Returns– ofrece una rule of thumb (con 14 items) para identificar una burbuja en tiempo real.

1. Standard Deviations of Valuation: Look at traditional metrics –  valuations, P/E, price to sales, etc. — to rise two or even three standard deviations away from the historical mean.

2. Significantly elevated returns:  The S&P500 returns in the 1990s were far beyond what one could reasonably expect on a sustainable basis. The years around Greenspan’s “Irrational Exuberance” speech suggest that a bubble was forming:

1995    37.58
1996    22.96
1997    33.36
1998    28.58
1999    21.04

And the Nasdaq numbers were even better.

3. Excess leverage: Every great financial bubble has at its root easy money and rampant speculation. Find the leverage, and speculation won’t be too far behind.

(…)

Por otro lado, All About Alpha invita a mirar en la actual bibliografia dura en la materia (Jarrow) posibles herramientas de trading.

Bubbles can create investment opportunities or act as predators for risk managers. While much academic research previously focused on how they formed, papers like this are beginning to provide toolkits for traders and risk managers to see, in real-time, the formation and presence of bubbles in a range of asset classes.

09
May
11

Paper: Commodity e inflación

Do Commodity Price Spikes Cause Long-Term Inflation?

Abstract:
This public policy brief examines the relationship between trend inflation and commodity price
increases and finds that evidence from recent decades supports the notion that commodity price 
changes do not affect the long-run inflation rate. Evidence from earlier decades suggests that 
effects on inflation expectations and wages played a key role in whether commodity price 
movements altered trend inflation.  This brief  is based on a  memo  to the  president of the 
Federal Reserve Bank of Boston as background to a meeting of the Federal Open Market
Committee.
Link al Paper
10
Feb
11

Tabla du Jour: ¿Burbuja 2011? Debatan…

(Fuente: Surly Trader)

13
Jun
10

Paper: Commodities y Liquidez

Liquidity Commonality in Commodities

Abstract:
Commodities have become an important asset class. However there has been little focus on commodities in the literature as compared to stocks and bonds. We show, using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, that there is a strong systematic liquidity factor (liquidity commonality) in commodities. This existed at the start of our sample period in 1997 but has become stronger over time. We also find that systematic liquidity risk is an important determinant of commodity returns. Finally, there is no consistent relation between changes in systematic stock market liquidity and changes in systematic commodity liquidity.

Link al Paper


27
May
10

Gráfico du Jour: Commodities y Contango

Este gráfico pertenece a James Montier, I Want to Break Free, or, Strategic Asset Allocation ≠ Static Asset Allocation




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