The biggest return-driver for commodity futures is market structure, not fundamentals or spot prices.
The article was published in the August issue of Morningstar ETFInvestor. Download a complimentary copy of ETFInvestor here.
The holy grail of portfolio diversification: an asset class that provides long-term risk-adjusted returns similar to equities but is negatively correlated with the returns of stocks and bonds. That is what professors Gary Gorton and Geert Rouwenhorst (hereafter G&R) appeared to have identified in their seminal study, “Facts and Fantasies about Commodity Futures”1.