Asset class picking

Commodity Futures Risk Premium – Historical Analysis

17.October 2019

We at Quantpedia absolutely love long-term studies, and academic research paper written by Bhardwaj, Janardanan, and Rouwenhorst is really exceptional. There are a lot of studies covering a long history of equity and bond markets. But futures markets are not covered so well, and that’s the reason why is this paper so valuable. An additional plus is that study covers also delisted contracts, which makes the study’s data quality even better. Quantpedia’s recommended read to anyone interested in asset allocation into commodities …

Authors: Bhardwaj, Janardanan and Rouwenhorst

Title: The Commodity Futures Risk Premium: 1871–2018

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What Affects the Correlation Between Stocks and Bonds

26.August 2019

The correlation between bonds and stocks is essential information for asset allocation decisions; therefore understanding its macro-economic drivers is very valuable for all investors. Stocks-bonds correlation isn’t stable, as we have experienced in the last 30 years, as the correlation, which was positive until the end of the 1990s, changed sign at the turn of the century. Research paper written by Marcello Pericoli sheds more light on this issue and shows that the correlation is primarily influenced by the uncertainty about inflation and real interest rates as well as by co-movement between inflation, real interest rates and dividend growth.

Author: Pericoli

Title: Macroeconomics Determinants of the Correlation Between Stocks and Bonds

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