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
- apologies for any cross-listings -
Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale School of Management
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