Commodities in Asset Management

The investment in commodities is starting to be more important during the last years. Thepaper describes the characteristics of financially important commodities. In many cases a passiveinvestment in an index is most suitable. As the GSCI is found to be the most important,its underlying futures are analyzed. The change of risk-return relationships in equity and bondportfolios including commodities is discussed. The paper shows that the effects differ substantiallyduring different holding periods. Especially during times of high inflation andstrong equity markets, commodities were a sensible addition. Still, the total performance from1976 to 2006 was not convincing. This paper reveals that the performance does not mainlydepend on the spot return but more on roll and collateral return.