at Google ScholarTitle data
Ludwig, Michael ; Mayer, Herbert G. ; Rathgeber, Andreas W. ; Spriegel, Christina ; Vogg, Florian:
A Truly Market-Value Weighted Commodity Index.
In: Journal of Asset Management.
Vol. 18
(2017)
Issue 3
.
- pp. 222-242.
ISSN 1479-179X
DOI: https://doi.org/10.1057/s41260-016-0038-z
Abstract in another language
Commodity indices play a central role in passive commodity investing. However, a closer look at commodity indices reveals huge differences in construction and weighting. For stock market indices on the other side, weighting is generally based on the market capitalization of an asset, according to the capital market theory. In contrast to this sound theoretical and practicable basis for stocks, there is a serious deficiency in commodity indexation. Therefore, in line with the classical capital market theory we present a novel approach to determine the “total investable amount” of commodities, which is the essential requirement for market capitalization based commodity indexation. In addition, we show a comprehensive model application: according to the proposed index weighting, energy allocation is significantly undervalued in existing index compositions, whereas metals and soft commodities are overvalued. Additionally, our results show that a market capitalization weighted commodity index offers very attractive risk-return-characteristics for investors, compared to existing commodity indices.
Further data
| Item Type: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Keywords: | Commodities; CAPM; indexation; portfolio management |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Business Administration Research Institutions Research Institutions > Affiliated Institutes Research Institutions > Affiliated Institutes > Fraunhofer Project Group Business and Information Systems Engineering Research Institutions > Affiliated Institutes > FIM Research Center Finance & Information Management Faculties Faculties > Faculty of Law, Business and Economics |
| Result of work at the UBT: | No |
| DDC Subjects: | 000 Computer Science, information, general works > 004 Computer science 300 Social sciences > 330 Economics |
| Date Deposited: | 09 Jan 2018 10:53 |
| Last Modified: | 01 Oct 2018 10:57 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/41569 |