Tag Archives: commodities

Equal-Weighting Versus Equal-Risk-Weighting Strategies

In a prior post, we reviewed the asset class risk contributions of a two-asset portfolio with varying weights. For an equal-weighted portfolio consisting of equities and bonds, we observed that nearly all contribution to total portfolio risk came from equities. To achieve equal risk contribution, the nominal weights in the portfolio would need to be Read more […]

Asset Class Correlations Affect Portfolio Volatility and Return

In recent years, the term “risk parity” has become a catch-all phrase to describe strategies that attempt to allocate based on risk. The launch of the S&P Risk Parity Indices last week is a testament to the proliferation and the popularity of the style. As we noted in a prior blog, there is a lack Read more […]

Exploring Commodity Equity and Futures

In April 2017, S&P Dow Jones Indices launched the S&P GSCI Dynamic Roll Reduced Energy 70/30 Futures/Equity Blend. This index is designed to measure the performance of a multi-asset allocation strategy that consists of a futures-based commodities index and an equity index that is based on various commodity-related GICS® subsectors. The futures portion is represented Read more […]

Q2 Commodity Performance and the Notable Spread Between Brent and WTI Crude

The S&P GSCI was up 8.0% for the Q2 2018, with agriculture being the worst-performing sector in the index, and energy the best (see Exhibit 1). Of the 24 commodities tracked by the index, 14 finished the quarter on a positive note. Soybeans was the worst-performing commodity in the index, and Brent crude was the Read more […]

Livestock: A Drag on Commodities

The S&P GSCI was up 1.5% for the month and up 8.9% YTD. Precious metals was the worst-performing commodity, while livestock was the best. Of the 24 commodities tracked by the index, 18 were positive in May. Nickel was the best-performing commodity for the month, while cocoa was the worst. The S&P GSCI Agriculture was Read more […]

Energy Stays on Top in April

The Dow Jones Commodity Index (DJCI) was up 2.9% for April 2018 and up 3.7% YTD, while the S&P GSCI was up 5.0% for the month and 7.3% YTD. Precious metals was the worst-performing sector in the indices and energy was the best. Exhibit 1 depicts the month-to-date and YTD performance of the sector indices Read more […]

What a Portfolio Might Look Like After Adding a Pinch of Real Assets

In December 2015, S&P Dow Jones Indices launched the S&P Real Assets Index, the first index of its kind, which is designed to measure global property, infrastructure, commodities, and inflation-linked bonds, using liquid and investable component indices that track public equities, fixed income, and futures. The S&P Real Assets Index includes global infrastructure (35%), property Read more […]

Commodities: Winners and Losers of 2017

The Dow Jones Commodity Index (DJCI) was up 3.0% for the month and up 4.4% YTD, and the S&P GSCI was up 4.4% with a YTD return of 5.8%. In December, livestock was the worst-performing sector in the indices, while industrial metals was the best. Of the 24 commodities tracked by the indices, 16 posted Read more […]

Energy Posts Gains and Petroleum Boasts Improved Roll Yields

The S&P GSCI was up 1.4% with a YTD return of 1.3% in November. Of the five sectors in the index, energy and agriculture were positive for the month, up 3.4% and 0.5%, precious metals was flat, while industrial metals and livestock finished the month on a negative note, down 3.2% and 5.5%, respectively. The Read more […]

Commodities: A Deeper Dive Into the Five Potential Sources of Return

In a prior post, we listed five components of returns that commodities futures can provide. In this post, we will delve deeper into each component. Insurance risk premium, according to Keynes’s theory, is earned when a market participant rolls their futures position and the price of the next futures contract is discounted against market expectations Read more […]