The traditional choices of asset allocation include: stocks, bonds, liquidity and also real estate. In the last five years, in consequence of the effects of the speculative bubble and of the new growth of interest rate, the attention of the managers of the portfolio is focalised on alternative assets, like hedge funds, private equity, credit derivatives, commodities, to research extra return. The commodities, traded on spot and forward markets, are characterised by the presence of negative correlation with traditional asset classes; therefore they help to obtain the search of the ``alpha'', which expresses the non systematic risk. The commodities have reached a meaningful performance in the last two years, especially the most important commodities index: Reuters/Jeffries-CRB (Commodities Research Bureau) Index and Standard \& Poor's Commodity Index (S\&P GSCI) have reached returns on over 15\%. In this paper we will examine the relationship between the portfolio returns with the presence of commodities or with traditional asset classes (stocks, bonds and liquidity).
Alternative Assets: A Comparison Between Commodities and Traditional Asset Classes
FASANO, ANTONIO;
2009-01-01
Abstract
The traditional choices of asset allocation include: stocks, bonds, liquidity and also real estate. In the last five years, in consequence of the effects of the speculative bubble and of the new growth of interest rate, the attention of the managers of the portfolio is focalised on alternative assets, like hedge funds, private equity, credit derivatives, commodities, to research extra return. The commodities, traded on spot and forward markets, are characterised by the presence of negative correlation with traditional asset classes; therefore they help to obtain the search of the ``alpha'', which expresses the non systematic risk. The commodities have reached a meaningful performance in the last two years, especially the most important commodities index: Reuters/Jeffries-CRB (Commodities Research Bureau) Index and Standard \& Poor's Commodity Index (S\&P GSCI) have reached returns on over 15\%. In this paper we will examine the relationship between the portfolio returns with the presence of commodities or with traditional asset classes (stocks, bonds and liquidity).I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
