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Inflation hedging on main street? : evidence from retail TIPS fund flows

Nagel, Stefan; Yan, Zhen - 2022

Households participating in financial markets pay attention to inflation news when making their investment decisions …, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation …-based inflation expectations measures increase. Changes in household survey expectations or in measures of inflation uncertainty do …

Persistent link: https://www.econbiz.de/10013463289

Should Commodity Investors Follow Commodities' Prices?

Guasoni, Paolo - 2019

Most institutional investors gain access to commodities through diversified index funds, even though mean-reverting prices and low correlation among commodities returns indicate that two-fund separation does not hold for commodities. In contrast to demand for stocks and bonds, we find that, on...

Persistent link: https://www.econbiz.de/10012898893

Is commodity index investing profitable?

Fethke, Tobias; Prokopczuk, Marcel - 2018

Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...

Persistent link: https://www.econbiz.de/10011879959

Commodity Momentum Decomposition

Iwanaga, Yasuhiro; Sakemoto, Ryuta - 2022

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...

Persistent link: https://www.econbiz.de/10013403618

Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds

Chen, Hsiu-Lang - 2015

This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of...

Persistent link: https://www.econbiz.de/10013015719

The Trend Is Your Friend : Time-Series Momentum Strategies Across Equity and Commodity Markets

Athina Georgopoulou, Athina - 2016

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the...

Persistent link: https://www.econbiz.de/10013004567