INVITATION Gutmann Center for Portfolio Management www.gutmann-center.at at the University of Vienna is pleased to invite to a GUTMANN CENTER PUBLIC LECTURE Date: June 13th (Monday), 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale http://mayet.som.yale.edu/~geert/ Title: THE LONG-TERM PERFORMANCE OF COMMODITY FUTURES Abstract: We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. About Geert Rouwenhorst: K. Geert Rouwenhorst is Professor of Finance at the Yale School of Management and Deputy Director of the International Center for Finance at Yale, which he joined after receiving his PhD from the University of Rochester. He has held visiting positions at MIT and the IMF. Geert's research interests include business cycles and empirical work on the tradeoff between risk and return in developed and emerging stock markets. In his recent work he examines commodity investments, hedge fund strategies, mutual fund settlement, and the history of finance. Geert's articles have been published in academic journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, as well as in applied journals such as the Financial Analyst Journal and the Journal of Portfolio Management. His upcoming book Origins of Value (with William Goetzmann ed.) surveys key historical innovations in the field of finance. Registration: brigitte.juchelka(a)gutmann.at Further info: Gutmann Center for Portfolio Management Dorothea Grimm - +43-1-4277-38186 dorothea.grimm(a)univie.ac.at www.gutmann-center.at