Topic
Commodity pool
About: Commodity pool is a research topic. Over the lifetime, 1416 publications have been published within this topic receiving 38225 citations.
Papers published on a yearly basis
1 / 2
Papers
TL;DR: In this article, the authors present empirical evidence that investors in actively managed mutual funds may have been more rational than we have assumed, and show that the return on new cash flows should be better than the average return for all investors in these funds.
Abstract: Mutual funds represent one of the fastest growing type of financial intermediary in the American economy. The question remains as to why mutual funds and in particular actively managed mutual funds have grown so fast, when their performance on average has been inferior to that of index funds. One possible explanation of why investors buy actively managed open end funds lies in the fact that they are bought and sold at net asset value, and thus management ability may not be priced. If management ability exists and it is not included in the price of open end funds, then performance should be predictable. If performance is predictable and at least some investors are aware of this, then cash flows into and out of funds should be predictable by the very same metrics that predict performance. Finally, if predictors exist and at least some investors act on these predictors in investing in mutual funds, the return on new cash flows should be better than the average return for all investors in these funds. This article presents empirical evidence on all of these issues and shows that investors in actively managed mutual funds may have been more rational than we have assumed.
2,520 citations
TL;DR: The authors examined asset fire sales and institutional price pressure in equity markets, using market prices of mutual fund transactions caused by capital flows from 1980 to 2003, and found that investors who trade against constrained mutual funds earn highly significant returns for providing liquidity when few others are willing or able.
Abstract: This paper examines asset fire sales, and institutional price pressure more generally, in equity markets, using market prices of mutual fund transactions caused by capital flows from 1980 to 2003. Funds experiencing large outflows (inflows) tend to decrease (increase) existing positions, which creates price pressure in the securities held in common by these funds. Forced transactions represent a significant cost of financial distress for mutual funds. We find that investors who trade against constrained mutual funds earn highly significant returns for providing liquidity when few others are willing or able. In addition, future flow-driven transactions are predictable, creating an incentive to front-run the anticipated forced trades by funds experiencing extreme capital flows.
1,082 citations
TL;DR: In this paper, the average annualized excess retraction of a long-only investment in commodity futures is estimated, and the performance of the futures market has been analyzed in terms of their expected performance.
Abstract: Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess retu...
1,064 citations
TL;DR: This article used the investment experience of hedge fund investors to estimate the performance of hedge funds and used this information to measure aggregate hedge fund performance, based on the idea that hedge fund investor experience can be used to estimate hedge fund investment experience.
Abstract: It is well known that the pro forma performance of a sample of investment funds contains biases. These biases are documented in Brown, Goetzmann, Ibbotson, and Ross (1992) using mutual funds as subjects. The organization structure of hedge funds, as private and often offshore vehicles, makes data collection a much more onerous task, amplifying the impact of performance measurement biases. Theis paper reviews these biases in hedge funds. We also propose using funds-of-hedge funds to measure aggregate hedge fund performance, based on the idea that the investment experience of hedge fund investors can be used to estimate the performance of hedge funds.
1,007 citations
Posted Content•
TL;DR: This paper constructed 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 commodities as an asset class.
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.
967 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2025 | 7 |
| 2024 | 10 |
| 2023 | 15 |
| 2022 | 29 |
| 2021 | 1 |
| 2020 | 2 |