In practice, a wide variety of performance measures is available to evaluate commodity investments. In this article, we show that the most popular of these metrics, i.e., the Sharpe ratio and 12 alternative reward-to-risk ratios based on drawdowns, partial moments and the Value at Risk, yield...

During the recent turbulences in the world's financial markets, diamond companies have started advertising diamonds as a new asset that can hedge against market volatility and be a valuable portfolio component. To put this claim to the test, this article investigates (i) the performance of...