Facts and Fantasies about Commodity Futures
研究了1959年7月至2004年12月期间商品期货作为资产类别的特性，发现其历史回报和夏普比率与美国股票相当，但与股票和债券回报负相关，且与通胀正相关。
For this study of the simple properties of commodity futures as an asset class, an equally weighted index of monthly returns of commodity futures was constructed for the July 1959 through December 2004 period. Fully collateralized commodity futures historically have offered the same return and Sharpe ratio as U.S. equities. Although the risk premium on commodity futures is essentially the same as that on equities for the study period, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation is the result, primarily, of commodity futures' different behavior over a business cycle. Commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation.