TY - JOUR T1 - Is Commodity Index Investing Profitable? JF - The Journal of Index Investing SP - 37 LP - 71 DO - 10.3905/jii.2018.1.064 VL - 9 IS - 3 AU - Tobias Fethke AU - Marcel Prokopczuk Y1 - 2018/11/30 UR - https://pm-research.com/content/9/3/37.abstract N2 - 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 ER -