The two scientists studied 45 years of development of the commodity market and realized that it "works well when needed most, ie when the yield of the stock market is disappointing.
Emphasis mainly affected institutional investors, and helped transform the markets for raw materials from the niche of investment in appropriate self-contained class of assets.
However, diversification with commodities become less attractive in the years after the publication of the work, as prices moved in tandem with other asset classes, including stocks and bonds.
When in 2008 the stock exchanges fell sharply on worldwide commodity markets also felt bad. Reached the bottom in March last year, questioned that they respond to different phases of the cycle.
Such correlations have been unpleasant for investors such as pension funds, which passed in the raw material, as a way to expand the portfolio and spread risks.
"There were questions as to whether the commodity market to provide this diversification", - says Michael Lewis (Michael Lewis), head of research of commodity markets at Deutsche Bank in London.
Last summer, the correlation between the S & P 500 and S & P GSCI commodity index rose to almost 0.8.
Despite this close correlation between raw material assets and other asset classes, the professor Gorton Ruvenhorst and insist on the findings of his work.
Sitting all day at the office documents culled Professor Gorton, when both the S & P 500, GSCI and each fell more than 3%, experts in finance from Yale University, said that volatility in the past two years not to alter their conclusions that for a long period of profitability in commodities futures commodity assets coincides with the dynamics of the shares, but with opposite sign, showing that the commodity market usually increases when stocks fall.
"You can prove that you want for the last three years, two, one year, 6 months", - said prof. Gorton, who 58 years. "We are conducting research is not so" - he said in an interview to Financial Times.
Their report, "Desired and actual on the futures of consumer goods", was created at a time when they were consultants to the insurance company AIG Financial Products, better known for a fateful part in the credit default swaps.
Scientists collected equally valued commodity futures indexes and studied their movement from 1959 to 2004 to find "common features of consumer futures as an asset class."
The study showed that the futures, treasury bills as collateral, offer the same yield as the action over the same period.
More attractive to investors, the historical risk for the consumer market was "relatively low" compared with the shares.
"Yield" commodity "futures were particularly effective in providing diversification for portfolios of stocks and bonds" - they wrote.
"Certainly, labor Ruvenhorst and Gorton had an enormous impact on the consumer market, as asset class," - says Christian Van Lanschet (Christiaen van Lanschot), which manages a hedge fund VOC Capital Management.
Recently, the positive effects of diversification and investment, consumer tracking codes have been elusive.
When in dire 1930 recession, S & P 500 lost 38% in 2008, GSCI - fell by 46%.
Gorton said: "So, if you're an investor, what have you learned? I will not invest in stocks and commodities, it is better I will keep the money under the bed? "
The influx of investors in the commodity market has begun after the central banks have increased money supply to stimulate the economy. What more attracted investors - so is gold, which recently pobilo record $ 1200 per ounce, oil is used as inflation insurance.
In his work professors also concluded that the market for commodities bad handle unexpected inflation, the risks involved, prof. Horton outlined glued 10 billion banknotes Bank of Zimbabwe on the office door.
But at the same time, 49-year-old professor. Ruvenhorst warns about the relative volatility in commodity markets. "Prices of raw materials behave," - he says, slicing the air traffic down. "Inflation is behaving well," - adds, gently raising his hand up. "In the short term, there is no hope."
According to Barclays Capital, after the oscillation index of consumer prices during a recession, a record $ 68 billion investor funds flowed into the commodity.
Researchers say that once they have searched for data of Commerce Commission on consumer goods, the U.S. regulator to examine the impact of the positions of traders in commodity markets, but they were denied the right to receive this information.
"We did not insist, because it absolutely clear that this is a political issue and no one care about the evidence," - said prof. Gorton.
From the moment appeared Wish and reality, big investors began to abandon the passive strategies on the commodity market and began to gravitate toward a more balanced approach. Other scientists say the sponsors of labor "advisers on commodity markets", the type of hedge fund, has shown questionable profitability.
Prof. Gorton also said that it is difficult to know exactly at what point the commodity markets are inefficient and, thus, to prepare active trading strategies. "You may think that the active strategies are easy profit. But I would not recommend to any institutional investor to think so at the time of an active strategy, if he really understands that it's risky. "
Financial Times
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