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