@article {Fethke37, author = {Tobias Fethke and Marcel Prokopczuk}, title = {Is Commodity Index Investing Profitable?}, volume = {9}, number = {3}, pages = {37--71}, year = {2018}, doi = {10.3905/jii.2018.1.064}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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 slightly increased portfolio Sharpe ratios but at the same time they are spanned by benchmark assets. For third-generation commodity indices, the mean-variance spanning hypothesis is rejected but they show heterogenous out-of-sample performances. We thus present new evidence showing that the performance of the third-generation of commodity indices is less clear-cut than found in existing studies.TOPICS: Commodities, passive strategies, performance measurement}, issn = {2154-7238}, URL = {https://jii.pm-research.com/content/9/3/37}, eprint = {https://jii.pm-research.com/content/9/3/37.full.pdf}, journal = {The Journal of Beta Investment Strategies} }