The case for commodities as an asset class - Duke University#39;s 对于大宗商品作为杜克大学39 #资产阶级的情况；.ppt

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The case for commodities as an asset class - Duke University#39;s 对于大宗商品作为杜克大学39 #资产阶级的情况；.ppt

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Thecaseforcommoditiesasanassetclass-DukeUniversity

lulfet\Bankers work temp\BB Strategic Case Sept 2000.pot lulfet\Bankers work temp\BB Strategic Case Sept 2000.pot Executive SummaryGSCI: The Portfolio Diversifier; The Portfolio Enhancer Estimated Global GSCI Investment Growth Goldman Sachs Commodity Index Composition Who Invests in the GSCI? Policy Committee Negative CorrelationGSCI Correlation with Global Financial AssetsDec 1987 - Dec 2003 Quarterly Correlations High Equity-Like ReturnsAsset Class Performance 1970 – Mar 2003 Commodities Perform Best When the Financial Portfolio Performs Worst Efficiency Frontier Commodities: Firmly Tied to the Business CycleGSCI Relative to U.S. Stocks and Bonds An Investment in Commodity Returns has Historically Exhibited High Equity-Like Returns Contango“Normal” Upwardly Sloped Forward Curve Backwardated Forward Curves: Commodities are Different Theoretically: Why Should Commodities Generate Long Run Returns? The Keynes Argument Fundamentally: Why Should Commodities Generate Long Run Returns? The Shortage Dynamic and Oil Returns Returns from Rolling Futures Contracts in the Oil Market Temporary Price Spikes Create Significant Backwardation The 2 Phases of a Commodity Price Rally Significant Returns Follow in Phase II Returns from Rolling Futures Contracts in the Oil Market When to Buy Commodities Rather Than Commodity Related Stocks Backwardation of the GSCIJanuary 1995 – May 31, 2004This graph represents the percentage backwardation or contango between the 1st and 2nd month futures contracts on the GSCI Investment Returns in the Commodity MarketsGSCI Excess Return Index and Projected ReturnsJan02 – Dec02 Backwardation in WTI Crude OilMarch 1983* – May 31, 2004 (*WTI futures first started trading in March 83)This graph represents the percentage backwardation or contango between the 1st and 2nd month futures contracts for NYMEX WTI Crude Oil Backwardation is not a Temporary Phenomenon Ways To Invest in the GSCI 1. Implementation via Swaps Implementa