true/false, if true or false for different commodities please list (5 points)
I know it’s true not sure for which commodities…
commodities have underperformed stocks and bonds on an absolute basis and on a risk-adjusted basis accroding to CFAI, the only positive attribute about them is their +ve correlation with inflation(especially energy and metals) and low to negative correlation with stocks and bonds. Thus commodities are more useful for diversification than for return enhancement
but remember only Storable commodities have the positive correlation with inflations(such as energy, gold, and not agriculture or electiricty)…
^Agreed but they are positively skewed which is kinda confusing since they are underperforming but I guess you can be positively skewed with lower returns, i.e. you don’t have that many low returns, a couple really high returns, and alot around the mean return (and this mean is lower then the return to bonds/stocks).
s23dino Wrote: ------------------------------------------------------- > ^Agreed but they are positively skewed which is > kinda confusing since they are underperforming but > I guess you can be positively skewed with lower > returns, i.e. you don’t have that many low > returns, a couple really high returns, and alot > around the mean return (and this mean is lower > then the return to bonds/stocks). CFAI Book page # for positively skewed comment
Hedge fund returns: negative or positive skewed :)?>
Negative.
bigwilly are you sure? i dont see the need to use semivariance then 
variance and semi will produce the same results if they are negatevily skewed
comp_sci_kid Wrote: ------------------------------------------------------- > s23dino Wrote: > -------------------------------------------------- > ----- > > ^Agreed but they are positively skewed which is > > kinda confusing since they are underperforming > but > > I guess you can be positively skewed with lower > > returns, i.e. you don’t have that many low > > returns, a couple really high returns, and alot > > around the mean return (and this mean is lower > > then the return to bonds/stocks). > > > CFAI Book page # for positively skewed comment I distinctly remember this in a Schweser problem in one of their sample exams I believe, I don’t have the CFAI material with me.
NM, i know why we use Sortino, if we would use std, it would be understated. For postively skewed it would be overstated. That is why sortino is better for both
I should say it depends on the Strategy… It can be both.
it does, but in general they are negatively skewed (as per investopedia)
- nagative supply events are more common in the commodity world. 2. commodity producers’ (except agriculture) real options. 3. positive event risk (economical, political, natural disaster, etc). 4. positive corr with inflation. 5. growth of emerging markets
rand0m Wrote: ------------------------------------------------------- > 1. nagative supply events are more common in the > commodity world. > 2. commodity producers’ (except agriculture) real > options. > 3. positive event risk (economical, political, > natural disaster, etc). > 4. positive corr with inflation. > 5. growth of emerging markets ha, cool, didnt think about positive event risk as a source of positively skewed distribution! Thanks
3rd & Long Wrote: ------------------------------------------------------- > but remember only Storable commodities have the > positive correlation with inflations(such as > energy, gold, and not agriculture or > electiricty)… so meat, corn, rice, soy, wheat, all of which are up quite a bit this year, are not positively related to inflation…???
thetank Wrote: ------------------------------------------------------- > 3rd & Long Wrote: > -------------------------------------------------- > ----- > > but remember only Storable commodities have the > > positive correlation with inflations(such as > > energy, gold, and not agriculture or > > electiricty)… > > so meat, corn, rice, soy, wheat, all of which are > up quite a bit this year, are not positively > related to inflation…??? they are negatively related
comp_sci_kid Wrote: ------------------------------------------------------- > thetank Wrote: > -------------------------------------------------- > ----- > > 3rd & Long Wrote: > > > -------------------------------------------------- > > > ----- > > > but remember only Storable commodities have > the > > > positive correlation with inflations(such as > > > energy, gold, and not agriculture or > > > electiricty)… > > > > so meat, corn, rice, soy, wheat, all of which > are > > up quite a bit this year, are not positively > > related to inflation…??? > > they are negatively related doesn’t really make sense. care to explain?